基于分位数条件格兰杰因果的东亚股市传染研究

Research on contagion among stock markets of east asian based on conditional Granger causality in quantile

为了分析亚洲金融市场间的传染问题,提出了基于分位数的条件格兰杰因果检验方法,对不同股票市场收益数据进行全面的因果关系检验.选取亚洲三个主要股票市场指数作为研究对象,研究比较了该方法与其它三种方法下的中日韩股票回报率之间的因果关系.实证结果表明,中日韩股票市场一体化,在厚尾极端情况,相互之间具有显著传染效应,其它地区股票市场危机,对我国股票市场价格走势具有显著影响.这一方法和结果,有助于投资者分析我国金融市场风险及其传染规律.

In practice,it is important to explore the contagion among Asia’s financial markets.This paper contributes to the problem by using a consistent parametric conditional Granger causality in quantiles test to study the contagion between stock returns for three East Asian stock markets.The empirical result shows that the new method is superior to the other three methods.The result also finds the stock markets of China,Japan,and Korea share financial market integration and have a significant contagion effect on one another in tails.The stock market crisis in other regions has a significant impact on the price trend of China’s stock market.The proposed method and empirical findings help investors to analyze China’s financial market risk and understand the propagation law.