全球性股市恐慌下的股市日内风险传染:来自欧债危机时期的证据

Intraday Risk Contagion among Stock Markets under the Global Stock Market Panic: Evidence from European Sovereign Debt Crisis

本文主要着眼于全球性股市恐慌下的中国内地与中国香港、中国台湾、日本股市之间的日内风险传染现象,使用日内5分钟数据,应用FFF回归、FIEGARCH模型、ARFIMAX模型的波动溢出三步检验法,对内地股市与其他三个东亚股市之间的日内波动溢出效应进行了实证分析。本文的主要结论是:中国内地与中国香港股市之间存在着强烈的双向波动溢出效应;中国内地与日本股市互不影响;中国内地与中国台湾股市之间,虽然在非恐慌时期几乎不存在波动溢出效应,但进入恐慌时期后中国台湾股市显著受到内地股市影响。股票市场之间的波动溢出效应具有非对称性特征,并且股市下跌时的波动溢出效应比上涨时要大。

Information transmission among different markets enables information shock taking place in one stock market to be spilled over to other stock markets.The rapid development of high-frequency trading and communication technology in recent years accelerates information transmission among these markets.Focusing only on three stock markets in China and Japan,this paper studies risk transmission mechanisms between these markets and investigates specific characteristics during the panic time of global stock markets resulting from the European sovereign debt crisis.Based on the intraday 5 minutes data of Shanghai Stock Exchange Composite Index,Hong Kong Hang Sang Index,Taiwan Weighted Stock Index,and Japan Nikkei 225 Stock Index,this paper adopts FFF regression,FIEGARCH model,and ARFIMAX model in order to empirically study intraday volatility spillover effects between China's Mainland and the other three stock markets.The first part is about the usage of FFF regression used in Andersen and Bollerslev＇s （1997） study to remove intraday periodicity,which is one of the most remarkable characteristics contained in high frequency volatility.The second part estimates conditional variance series using the FIEGARCH model of Bollerslev and Mikkelsen （1996）.The main part of this paper studies the intraday risk contagion between stock markets in China's Mainland,Hong Kong,Taiwan,and Japan.Global stock market is considered in panic time when ⅥⅩ value is bigger than 30.Aug 5,2011 may be a proper dividing point to differentiate the markets before and after European debt crisis.Therefore,this paper studies the risk transmission during the two periods.Empirical results show that there exists a strong bi-directional volatility spillover effect between China's Mainland and Hong Kong stock markets.However,no significant evidence is found for risk transmission between China's Mainland and Japan stock markets.As for the relationship between the mainland Chinese stock market and the Taiwan Residents market,no spillover effects were observed during the non-panic time.When it comes to panic time,the latter one is significantly influenced by the former one.In addition,the volatility spillover effect between different markets is asymmetric and such effects are stronger as markets are falling.Empirical results show that oversea information in the China's Mainland market comes mainly from the Hong Kong market and not from the other three stock markets in East Asia.The unique characteristics of these regional markets are different from those of international markets.The stock market in China's Mainland will continue the internationalization process as it will receive more influence from other financial markets.