摘要
研究中外股票市场在突发事件冲击下的国际联动性与风险溢出效应对于防范和化解股票市场风险具有重要的参考价值。本文运用多变量DCC-GARCH模型和GARCH-Copula-CoVaR模型对美国次贷危机、欧债危机、2015年中国股票市场大幅波动和2020年新冠肺炎疫情四个时段中外主要经济体股票市场的国际联动性和双向风险溢出强度进行测度。研究结果表明,中外股票市场在极端条件下存在明显的联动性和风险双向溢出效应,且国外股票市场对中国股票市场的风险溢出效应更为显著。分时段研究结果显示,国外股票市场对中国股票市场风险溢出效应较大的是2015年中国股票市场大幅波动时期和欧债危机时期,2020年新冠肺炎疫情期间溢出效应较小。
It is of great reference value to study the international linkage and risk spillover effects of Chinese and foreign stock markets under the impact of emergencies to prevent and resolve stock market risks.This article uses the multivariate DCC-GARCH model and the GARCH-Copula-CoVaR model to analyze the international linkage and two-way risk spillover intensity of major stock markets in the world during the four periods of the US subprime crisis,the European debt crisis,the sharp fluctuations of China’s stock market in 2015 and the COVID-19 in 2020.The research results show that there are obvious linkages and two-way risk spillover effects in Chinese and foreign stock markets under extreme conditions,and the risk spillover effects of foreign stock markets on Chinese stock markets are more significant.The biggesr spillover effect on China’s stock market was during the European debt crisis and the sharp fluctuations of China’s stock market in 2015,while the spillover effect was relatively small during the COVID-19 in 2020.
作者
宋玉臣
吕静茹
Song Yuchen;Lv Jingru(Center for Quantitative Economics,Jilin University,Changchun 130012,China;School of Business and Management,Jilin University,Changchun 130012,China)
出处
《数量经济研究》
2022年第1期15-33,共19页
The Journal of Quantitative Economics
基金
国家自然科学基金青年项目“股权激励对企业创新的影响机理与制度优化研究”(71904107)
教育部人文社会科学重点研究基地重大项目“新常态下我国资本市场与经济增长的长期协调发展研究”(16JJD790016)
国家自然科学基金面上项目“现代金融理论和金融实践的二重分歧及解决路径的理论与方法”(71273112)的联合资助。
关键词
股票市场
国际联动性
风险溢出效应
Stock Market
International Linkage
Risk Spillover Effect
