摘要
美国次贷危机时期41个国家(地区)的股票市场可划分为五个金融联合区域:欧洲成熟区域、亚太区域、美洲区域、欧洲新兴区域和非洲区域。运用多元GARCH模型对这五个区域之间的风险传染关系进行实证研究,结果表明,欧洲成熟区域、美洲区域和亚太区域之间存在显著的双向波动溢出效应,从亚太区域到欧洲新兴区域存在单向波动溢出,而非洲区域和亚太区域之间并不存在显著的波动溢出关系。各区域间的经济金融联系是造成区域风险传染现象的主要原因。
During the American sub-prime crisis, stock markets in the 41 countries （ regions） could be classified into five united financial regions, i.e. the European mature region, 1he Asia-Pacific region, the American region, the European emerging region and the African region. Our empirical studies of the relations of risk contagion among these five regions with multivariate GARCH models indicate that effects of bidirectional volatility spiUovers exist among the European mature region, the American region and the Asia-Pacific region while there are effects of unidirectional volatility spillovers from the Asia-Pacific region to the European emerging region and there are no significant effects of volatility spillovers between the Mrican region and the Asia-Pacific region. It is concluded that the main reason for regional risk contagion is that there exist economic and financial relations between the regions.
出处
《厦门大学学报（哲学社会科学版）》
CSSCI
北大核心
2009年第5期106-113,共8页
Journal of Xiamen University(A Bimonthly for Studies in Arts & Social Sciences)
基金
教育部人文社会科学研究基金项目"资本市场之间的风险传染研究"(08JC790089)
福建省社科规划项目"异质信念资产定价:理论
模型与实证"(2008B2080)
关键词
风险传染
国际股市
因子分析.多元GARCH
risk contagion, international stock market, factor analysis, multivariate GARCH
