摘要
本文运用ICAPM模型和GARCH-动态COPULA函数,研究了次贷危机和欧债危机期间,我国股市的风险定价特点及与国际股市之间融合度的演变过程,并探讨了两次危机在国内股市全球化过程中的不同影响。实证结果表明:(1)国内股市的资产超额收益率同时受全球市场风险溢价、国内市场风险溢价及货币风险溢价的显著影响,样本期内国内股市与国际股市为部分整合关系,且整合程度呈不同阶段特点,欧债危机期间全球风险溢价对国内资产收益率影响最大;(2)COPULA尾部相关系数表明,危机发生后市场间联动性增强,融合度提高,但相比欧债危机,次贷危机对市场间联动及国内市场的风险冲击并不大。
The paper makes an empirical study on the integration between the Chinese and the global stock markets during the sub-prime crisis and European debt crisis by ICAPM and GARCH-conditional Copula function. The study also investigates the different impact on market integration between the sub-prime crisis and European debt crisis. The results show that： （ 1 ） The global, local and currency risks were priced significantly in ICAPM, suggesting the Chinese and global stock markets were integrated partly. Meanwhile the degree of integration were changing during the whole sample period. The global market risk made the larger effect on the return rate of domestic market during the European debt crisis, comparing to the sample of subprime crisis. （2） The time-varying correlation between the Chinese and global stock market index captured by the copula function indicated that the two markets were increasingly integrated,especially during the European debt crisis. However,the lower correlation in left-tail between Chinese and global markets indicated that the impact of sub-prime crisis on domestic market were not so intensive as thought before.
出处
《浙江工商大学学报》
CSSCI
2014年第4期72-81,共10页
Journal of Zhejiang Gongshang University
基金
2012年福建省教育厅社科项目"开放经济下我国证券市场的分割与事例研究"(JB12640S)
