| 金融风险在股票市场的传染效应及联动行为分析 |
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| 引用本文： | 刘超,郭亚东.金融风险在股票市场的传染效应及联动行为分析[J].运筹与管理,2020,29(10):198-211. |
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| 作者姓名： | 刘超 郭亚东 |
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| 作者单位： | 1.北京工业大学 经济与管理学院,北京 100124; 2.北京现代制造业发展研究基地,北京 100124 |
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| 基金项目： | 国家自然科学基金项目(62073007,61773029);北京市属高校高水平教师队伍建设支持计划长城学者培养计划项目(CIT&TCD20170304) |
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| 摘 要： | 近年来金融危机频发并表现出了易传染性,引起了众多学者的高度关注。以动态条件相关模型研究美欧股市与中、日、韩股市间的时变相关性,并结合内生多重结构突变模型划分危机传染阶段,选用溢出指数模型分析股市间的风险溢出特性;随后,定义股市间相互影响的联动模式并构建不同传染阶段的加权有向网络图分析股市间的联动行为。研究表明:美欧股市对中日韩股市有明显的传染效应,被传染的速度和持续时间均不相同;金融传染和风险溢出展现出一定的不一致性,危机期间日股的风险溢出效应强于美股;传染效应在联动网络中表现为联动模式的高聚类性和高联动性,相比欧债危机,次贷危机时期股市间展现出更强的联动行为;日股与美欧股市在两次危机中均表现出最强的联动性,其所受影响也最大。
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| 关 键 词： | 金融传染 股票市场 风险溢出 联动行为 复杂网络 |
| 收稿时间： | 2019-03-01 |
An Empirical Study on Contagion Effect and Co-Movement Behavior of Financial Crisis in Stock Markets |
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| LIU Chao,GUO Ya-dong.An Empirical Study on Contagion Effect and Co-Movement Behavior of Financial Crisis in Stock Markets[J].Operations Research and Management Science,2020,29(10):198-211. |
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| Authors: | LIU Chao GUO Ya-dong |
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| Affiliation: | 1. School of Economics and Management, Beijing University of Technology, Beijing 100124, China; 2. Research Base of Beijing Modern Manufacturing Development, Beijing 100124, China |
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| Abstract: | In recent years, financial crises broke out frequently and showed contagion, which drew high attention from scholars both at home and abroad. In this paper, the dynamic condition correlation model is selected to study the time-varying correlation among the US, the European, and the Chinese, the Japanese, the Korean stock markets during the subprime mortgage crisis and the European debt crisis. By using the endogenous multiple structural break method, the paper divides the contagion period and the stable period, and uses spillover index method to study risk spillover effect during two financial crises. And then, this paper constructs the co-movement mode of two stock markets and builds weighted and directed complex networks in different stages of infection, and uses network analysis methods to study the co-movement behavior between stock markets. It can be concluded that during the two financial crises, the US and European stock markets have a clear one-way contagion effect on the stock markets of Chinese, Japanese and Korean. In the two crises, each stock markets has different speed of infection and duration. There is inconsistency between financial contagion and risk spillover effect. The risk spillover effect of Japanese stock market during the crisis is stronger than that of US stock market. The contagion effect is manifested as the high clustering and high linkage of the co-movement model in the network. Compared with the European debt crisis, during the subprime mortgage crisis, the stock markets show stronger co-movement. In the two crises, the co-movement between the Japanese stock market and the infectious stock markets is the strongest, so the Japanese stock market is the most affected by the financial crisis. |
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| Keywords: | financial contagion stock markets risk spillover co-movement complex network |
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