摘要
选取了世界上12个主要股票市场指数,采用Copula函数对次贷危机发生前、危机过程中、危机过后三个阶段国际资本市场风险的协同效应进行了测度,实证结论显示三个阶段世界资本市场间的风险协同性特征出现了明显变化,呈现出逐渐变弱的趋势,只有欧洲国家和巴西的资本市场与美国的资本市场仍保持较强的协同性特征。这意味着次贷危机改变了世界资本市场固有的风险格局,全球资本市场的一体化进程出现了放缓迹象。
Based on Copula functions,this paper investigates the co-movement effects among twelve world's main stock markets,respectively,at the prophase,interim and late of the crisis.The empirical findings show that the synergies of capital risks among markets which suffered great transformation behaved a gradual weakening trend in the three phases.Only Europe and Brazil markets keep strong synergy effects with U.S.indicating that the inherent structure of world capital markets has been resetted by the sub-mortgage crisis,which led to a lazy tendency in the integration process of world markets.
出处
《科学决策》
2011年第5期1-13,共13页
Scientific Decision Making
基金
国家自然科学基金项目(71073067)
国家社科基金重点项目(10AJL006)
教育部人文社会科学重点研究基地重大项目(2009JJD790015)
关键词
次贷危机
资本市场格局
协同效应
COPULA函数
sub-mortgage crisis
structure of capital markets
synergy effects
copula functions
