作　　者： ;

机构地区： 广东财经大学

出　　处： 《国际金融研究》 2016年第10期63-73,共11页

摘　　要： 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 builds an R-Vine copula model to characterize the dependency structural evolution among international stock markets which include 21 representative stocks markets based on their daily index yield data from September 1995 to May 2015. Then we analyze the contagion effect among international stock markets in three crises including the Asian financial crisis in 1997, Dotcom crisis in 2000 and the snbprime crisis in 2007. The results show that there is symmetry or asymmetry upper tail and lower tail dependency among international stock markets. HangSeng index, Singapore＇s Straits Times Index, Germany＇s DAX index and SP500 index have played a role in connecting other stock markets during the entire period. The four stock markets are the key nodes in terms of the outward diffusion of crisis contagion effect. The Hong Kong stock market serves as a bridge connecting Asian stock markets and European stock markets. The occurrence of the three crises enhanced the inter-dependency among Asian stock markets and European stock markets. At the same time, the three crises enhanced the dependency between Asia and Europe. Contagion effects have obvious regional propagation characteristics. R-Vine copula model is more suitable for measuring dependency structural evolution and contagion effects among international stock markets compared with the D-Vine copula and C-Vine copula model.

关 键 词： 相依结构 危机传染效应 国内外股市

领　　域： [经济管理]