次贷危机对中国股市影响的实证分析——基于中美股市的联动性分析  

Empirical Analysis of Sub-prime Mortgage Crisis's Impacts on Chinese Stock Market——Based on the Interaction between Chinese and American Stock Markets

作　　者：龚朴[1] 黄荣兵[1] 

机构地区：[1]华中科技大学管理学院,武汉430074

出　　处：《管理评论》2009年第2期21-32,共12页Management Review

基　　金：国家自然科学基金项目资助(70871049)。

摘　　要：为了揭示次贷危机引发的金融风暴对我国内地股市的冲击大小,本文基于中美股市的联动性,采用时变t-Copula模型测算次贷危机对内地股市的影响程度。结果显示,次贷危机加剧了我国内地股票市场的震荡,不过次贷危机对内地股市冲击的程度并不高,而且次贷危机爆发后对内地股市的影响呈阶段性的变化;结果也显示香港股票市场在危机的传染中扮演着重要的作用,由次贷危机引发的美国股市的剧烈震荡易于通过香港股票市场传导至内地股票市场。In order to reveal the impact of financial crisis triggered by the sub-prime mortgage crisis on China mainland stock market, we use a time-varying t-copula model to measure the degree of shock through the interaction between Chinese and American stock markets. The results show that the sub-prime mortgage crisis has exacerbated the fluctuation of China mainland stock market, but the extent of its impact is low, and its impact has changed in different time stages. The results also show that the Hong Kong stock market plays an important role in that the financial market turbulence triggered by the sub-prime mortgage crisis can easily spread from the U. S. stock market to mainland stock market through the Hong Kong stock market.

关 键 词：次贷危机 相关性 COPULA EGARCH 

分 类 号：F831.51[经济管理—金融学] F832.51F224