股市联动中的“涟漪效应”

The“Ripple Effect”in Stock Market Co-movement

本文提出"涟漪效应"来解释国际股市联动性的大幅波动。所谓涟漪效应就是中心市场特有波动对其它市场间联动性产生影响的现象。本文采用滚动窗口和DCC-GARCH的方法计算了市场特有波动和收益相关系数,以9个主要市场指数为样本对国际股票市场中涟漪效应进行实证检验。研究结果显示,2007年后国际股市联动性变化与美国市场的涟漪效应有关,美国市场特有波动升高(降低)会导致全球股市联动性升高(降低),而其他市场特有波动并没有类似影响。美国市场与其他市场间联动性基本不受第三方市场特有波动的影响,A股与美股联动性的增强是造成A股与其它股市联动性变化的主要原因。此外,研究特有波动与相关系数的关系能帮助我们识别国际股市中风险传递方向,本文结果显示欧洲市场对其他市场的影响非常有限,以往研究可能高估了欧洲市场的影响力。本文丰富了股市联动性影响因素的研究,对理解市场联动性变化、评估市场影响力等问题有重要意义。

Since the 2008 financial crisis,the correlation coefficients between international stock markets have fluctuated greatly.The fundamental factors which proposed in previous studies cannot fully explain these fluctuations.In this paper,a new mechanism that affects stock market co-movement is proposed,which name is ripple effect.The ripple effect refers to the phenomenon that an increase(decrease)in central market's idiosyncratic volatility(IVOL)will lead to an increase(decrease)in return correlation coefficient(CORR)between other markets.Co-movement model is used to analyze the ripple effect.The model shows that when market Y and market Z depend on market X and the dependence coefficient is positive,the CORR of return between Y and Z is positively correlated with the market X's IVOL,negatively correlated with Y and Z's IVOL.The IVOL and the CORR between 9 major markets are used in empirical analysis.Three regressions need to be done to test the US market's ripple effect.First,regress the US market and other markets'CORR on their IVOL to determine the direction of information transmission between US and other markets.Second,regress the CORR between other markets on the US market's IVOL to calculate the influence of the US market on the co-movement among other markets.Finally,regress the CORR between US and other markets on another market's IVOL to identify that other markets have no influence on the US stock markets.The results show that there is no obvious ripple effect before 2007,and there is a ripple effect centered on the US market after 2007.At the same time,the ripple effect of other markets is also examined.The results show that there is no significant ripple effect in any market except the US.In recent years,A-shares market began to be affected by US market,which is the main reason for the increasing in the CORR between A-shares and other stock markets.The direction of risk transmission in the international market can be identified by studying the relationship between IVOL and CORR.Previous researches may overestimate the influence of European market.This paper enriches the research on the factors that affect stock market co-movement,and ripple effect is of great significance for understanding the market co-movement and assessing market influence.