本文選題：股票市場(chǎng) + 金融危機(jī)　； 參考：《數(shù)理統(tǒng)計(jì)與管理》2012年04期

【摘要】：為研究波動(dòng)溢出效應(yīng)是否存在于中英美股市問(wèn),若存在,波動(dòng)溢出效應(yīng)傳導(dǎo)機(jī)制如何,截取2005年7月22日至2009年6月30日的標(biāo)準(zhǔn)普爾500指數(shù)、倫敦金融時(shí)報(bào)100指數(shù)、滬深300指數(shù)共1045個(gè)日收盤(pán)數(shù)據(jù),時(shí)間段分為金融危機(jī)前后,分別構(gòu)建三元MGARCH-BEKK模型,實(shí)證結(jié)果表明:(1)金融危機(jī)發(fā)生前,中英美股市間存在波動(dòng)溢出效應(yīng),傳導(dǎo)機(jī)制為:先從英國(guó)到美國(guó)再到中國(guó);(2)金融危機(jī)發(fā)生后,中英美股市間仍存在波動(dòng)溢出效應(yīng),但傳導(dǎo)機(jī)制變?yōu)?先從美國(guó)到英國(guó)再到中國(guó)。通過(guò)比較分析實(shí)證結(jié)果,得出如下結(jié)論:(1)美國(guó)是全球股票市場(chǎng)風(fēng)險(xiǎn)的主要來(lái)源國(guó),特別是金融危機(jī)之后更加明顯;(2)中國(guó)是全球股票市場(chǎng)風(fēng)險(xiǎn)的主要接受?chē)?guó)。
[Abstract]:In order to study whether the volatility spillover effect exists in the Chinese and American stock markets, and if so, what is the transmission mechanism of the volatility spillover effect, it intercepts the Standard & Poor's 500 Index from July 22, 2005 to June 30, 2009, the London Financial Times 100 Index. There are 1045 closing data of Shanghai and Shenzhen 300 index, which are divided into three MGARCH-BEKK models before and after the financial crisis. The empirical results show that there are volatility spillover effects between Chinese and American stock markets before the financial crisis. The transmission mechanism is: from Britain to the United States then to China) after the financial crisis, there is still volatility spillover effect between the Chinese and American stock markets, but the transmission mechanism is: first from the United States to the United Kingdom to China. By comparing and analyzing the empirical results, the following conclusions are drawn: the United States is the main source country of global stock market risk, especially after the financial crisis) China is the main recipient of global stock market risk.
【作者單位】： 大連理工大學(xué)管理與經(jīng)濟(jì)學(xué)部;
【基金】：國(guó)家自然科學(xué)基金(70772087) 教育部人文社會(huì)科學(xué)研究項(xiàng)目基金(09YJC790025) 中央高�；�本科研業(yè)務(wù)費(fèi)專(zhuān)向資助基金(DUT10ZD107)
【分類(lèi)號(hào)】：F831.51;F832.51;F224

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本文編號(hào)：1912689