导　　师： 刘湘云;赵桂萍

学科专业： 0251

授予学位： 硕士

作　　者： ;

机构地区： 广东财经大学

摘　　要： 21世纪以来，次债危机和欧债危机的先后爆发严重影响了世界经济的正常发展，国际金融市场急剧动荡，而危机期间各国股市表现出的联动性和传染性也日益成为政府监管机构和投资者关注的焦点。本文采用理论归纳和实证检验相结合的方法，重点探讨欧债危机背景下，我国A股市场和欧洲股市之间极端风险的溢出机理和具体溢出内容。 本文首先系统性地回顾了金融市场极端风险测度和极端风险溢出领域的现有成果。在此基础上，详尽探讨了股票市场极端风险的溢出机理。在实证建模部分，笔者引入Hong et al.（2009）提出的检验统计量，构建基于E-VaR和CCF的Granger检验方法，分阶段考察了欧债危机背景下，我国A股与欧股极端风险溢出的具体内容，包括方向、方式、相对强度、是否存在时滞、时变性等 通过本文的研究，笔者得出以下结论： （1）机构投资者调整跨国资产配置策略和银行业由于“共同贷款者”效应及同业资本关联形成的流动性冲击传染，以及信息不对称条件下，基于市场行为主体理性预期决策而产生的示范效应及羊群效应是股票市场极端风险溢出的主要动因。 （2）欧债危机背景下，我国A股与欧洲股市存在明显的极端风险溢出效应，危机的爆发显著改变了两地股市的极端风险溢出信息。危机爆发前的主要特点是极端风险溢出的单向滞后效应和非对称性，危机爆发后极端风险溢出信息的核心内容是显著的瞬时溢出效应，并且随着危机的演进不断加强。 （3）A股市场是新兴市场，但已非独立市场。一方面，A股市场表现出了对于外围股市极端风险信息的选择性吸收和市场波动的非稳定性；另一方面，其国际影响力也有了很大提升，市场有效性显著增强，初步反映出我国A股市场在股权制度改革和市场制度建设等� Since the beginning of the21st century, the happening of the US subprime crisis andthe followed European debt crisis exert great influence on the development of theworld economy, the international financial market has also been increasingly unsettled.Under this circumstance, the linkage and infections among national stock marketshave attracted more and more attention of the governmental regulatory agencies andordinary investors. In this paper, under the background of the European debt crisis, weexamine in detail the mechanism and the specific information of the extreme riskspillover between Chinese A-share market and the European stock market, using thecombining of the theoretical method and the empirical method. At the beginnings of this paper, we briefly review the current results about theextreme risk measurement and spillover effect, based on which the extreme riskspillover mechanism has been investigated in details. In terms of empirical modeling,we introduce the test statistics proposed by Hong in2009and construct the grangertest method based on E-VaR and CCF. The results show the specific information ofthe extreme risk spillover between Chinese A-share market and European stockmarket under the3stages of the European debt crisis. The main findings of this paper are as follows: Firstly, the institutional investors adjusting their asset allocation strategies and theliquidity shock affections among national banking industry，and the demonstrationeffect and the herding effect based on asymmetric information and rationalexpectations together contribute to the key motivation of the transnational extremerisk spillover, Secondly, the extreme risk spillover effect does exist in the relationship betweenChinese A-share market and the European market. The crisis significantly changed themode of action of the extreme risk. The main features of the pre-crisis suggest to bethe one-way delay and asymmetry effect, while after the outbreak of the crisis the corecontent becomes a significant instantaneous effect,

关 键 词： 欧债危机 极端风险溢出 股 欧股

领　　域： [经济管理] [经济管理]