| 金融危机前后中英美股票市场间波动溢出效应比较 |
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| 引用本文： | 黄飞雪,寇玲,杨德礼.金融危机前后中英美股票市场间波动溢出效应比较[J].数理统计与管理,2012,31(4):751-760. |
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| 作者姓名： | 黄飞雪 寇玲 杨德礼 |
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| 作者单位： | 大连理工大学管理与经济学部,辽宁大连,116024 |
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| 基金项目： | 国家自然科学基金(70772087);教育部人文社会科学研究项目基金(09YJC790025);中央高校基本科研业务费专向资助基金(DUT10ZD107) |
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| 摘 要： | 为研究波动溢出效应是否存在于中英美股市问,若存在,波动溢出效应传导机制如何,截取2005年7月22日至2009年6月30日的标准普尔500指数、伦敦金融时报100指数、沪深300指数共1045个日收盘数据,时间段分为金融危机前后,分别构建三元MGARCH-BEKK模型,实证结果表明:(1)金融危机发生前,中英美股市间存在波动溢出效应,传导机制为:先从英国到美国再到中国;(2)金融危机发生后,中英美股市间仍存在波动溢出效应,但传导机制变为:先从美国到英国再到中国。通过比较分析实证结果,得出如下结论:(1)美国是全球股票市场风险的主要来源国,特别是金融危机之后更加明显;(2)中国是全球股票市场风险的主要接受国。
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| 关 键 词： | 股票市场 金融危机 波动溢出效应 GARCH-BEKK模型 |
Comparison of Stock Market Volatility Spillover Effect Before and After Financial Crisis in China,UK and USA |
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| HUANG Fei-xue,KOU Ling,YANG De-li.Comparison of Stock Market Volatility Spillover Effect Before and After Financial Crisis in China,UK and USA[J].Application of Statistics and Management,2012,31(4):751-760. |
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| Authors: | HUANG Fei-xue KOU Ling YANG De-li |
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| Institution: | (Faculty of Management and Economics,Dalian University of Technology,Liaoning Dalian 116024, China) |
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| Abstract: | In China,USA,and UK,for comparing volatility spillover effect of the three stock market. First of all,intercepted data of S & P 500,FTSE 100,Shanghai and Shenzhen 300 from 2005-7-22 to 2009- 6-30.Then,divided into two periods:before financial crisis and after financial crisis.At last,applyed a three-variable MGARCH-BEKK model.we found:(1)Before financial crisis,transmission mechanism from UK stock market to USA to China;(2)After financial crisis,from USA stock market to UK to China.Conclusion:(1)In the world,USA was the main volatility source of stock market,especially after financial crisis;(2)In the world,China was the main volatility destination of stock market. |
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| Keywords: | stock market financial crisis volatility spillover effect three-variable MGARCH-BEKK |
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