金融危机传染效应的资产动态组合视角解析  

Analysis of Financial Crisis Contagion Effects in the Perspective of Portfolio Dynamic Combinatorial

作　　者：李成[1] 王建军[1] 

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061

出　　处：《统计与信息论坛》2010年第10期61-64,共4页Journal of Statistics and Information

基　　金：国家社会科学基金重点项目<中国金融监管的制度框架;制衡机制与绩效评价研究>(09AZD020);西安交通大学科研基金项目(人文社科类)<金融危机的演进;传染及监测研究>(SK2009033);教育部应急课题<国际金融危机应对研究>(2009JYJR058)

摘　　要：由金融危机三阶段视角透视跨国投资组合供需动态变化过程中金融危机的传染特性。以跨国投资者投资决策与投资业绩互动为突破点,剖析在金融危机三阶段内调整跨国资产组合配置的微观交易行为所引致的金融危机传染性。经由9个国家金融危机期间基金交易数据的计量检验得出:金融危机中跨国投资者资产组合再分配是金融危机重要的传染渠道;与金融危机发源国分享风险偏好型跨国投资者的国家最容易被危机感染;金融危机三阶段传染效应的强度呈动态变化;金融市场上投资者的信息搜集在化解市场风险方面具有重要作用。In this article we study the characteristics of financial crisis contagion during the multinational investors＇ portfolio adjustment process through a four-stage supply and demand dynamics.We take the interaction of investment concept and investment performance as the breakpoint,analyse financial contagion come from the microscopic trade behavior of multinational investors＇ portfolio adjustment in the four-stage of financial crisis.We do the metrology inspection with the mutual funds transaction data of the 9 countries and concluded： The positive feedback effect of multinational investors＇ portfolio redistribution is the important contagion channel of financial crisis;The country that share the risk appetite investors with the country where the financial crisis first break out is the most vulnerable country to infection crisis;The strength of four-stage contagion effects of financial crisis was dynamic change;In financial market,investor＇s information collection has a important role to melt the financial risks.

关 键 词：金融危机传染 金融危机三阶段 投资组合 

分 类 号：F831[经济管理—金融学]