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本文采用R-Vine Copula方法刻画国内外21个代表性股市在1995年9月-2015年5月期间的相依结构特征;在此基础上分析三次危机(1997年亚洲金融危机、2000年网络泡沫危机和2007年次贷危机)在各股市之间的传染效应。研究结果表明,各个股市之间普遍存在对称(不对称)的上下尾相依结构特征;中国香港股市、新加坡股市、德国股市和美国股市在国际股市中起到枢纽中心作用,也是危机传染效应向外扩散的关键节点;中国香港股市起到连接亚洲和欧洲股市的桥梁作用;内地沪深股市在国际股市相依结构中处于边缘地带,尚未起到中心连接点作用;三次危机的发生不仅增强了亚欧区域内部股市间的相依性,也增强了亚欧股市之间的相依性,危机传染效应具有明显区域性传播特征。
This paper uses the R-Vine Copula method to characterize the dependency structure of 21 representative markets at home and abroad during the period from September 1995 to May 2015. On this basis, we analyze the three crises (Asian financial crisis in 1997 and the Internet bubble crisis in 2000 And the subprime mortgage crisis in 2007) between each stock market. The results show that asymmetric upper-lower tail dependency structure exists universally among all stock markets. Hong Kong stock market, Singapore stock market, German stock market and American stock market play a pivotal role in the international stock market, which is also the result of the crisis contagion effect. The key node of proliferation; the Hong Kong stock market of China plays a bridge role in connecting Asian and European stock markets; the mainland Shanghai and Shenzhen stock markets are marginalized in the international stock market-dependent structure and have not yet played the role of central connecting point; the occurrence of the three crises not only enhanced the growth of Asia and Europe The interdependence between the stock markets in the region also enhances the interdependence between the stock markets in Asia and Europe. The contagion effect of the crisis has obvious regional transmission characteristics.