未预期收益率、传染性与金融危机——来自上海市场与世界市场的证据  

Unexpected Return,Contagion and Financial Crisis: The Case of Shanghai Stock Market and Other Markets

作　　者：赵进文[1] 苏明政[2] 邢天才[1] 

机构地区：[1]东北财经大学金融学院,116025 [2]东北财经大学研究生院,116025

出　　处：《经济研究》2013年第4期55-68,共14页Economic Research Journal

基　　金：辽宁省高等学校"高端人才队伍建设工程"辽宁特聘教授支持计划(辽教发[2012]15号);2012年第二批国家社科基金重点项目"系统性金融风险防范和监管协调机制研究"(批准号:12AZD044)的阶段性研究成果;教育部重大专项项目"产业安全工程学研究"(批准号:239010522);2012年度全国统计科研计划项目"我国系统性金融风险测量的统计问题研究"(批准号:2012LZ036);2011年度辽宁省教育厅创新团队项目"区域金融与区域经济发展"(批准号:WT2011005)的联合资助

摘　　要：本文借鉴Samarakoon的思想,以未预期收益率作为分析基础,通过区分市场间交易时间的重叠性,建立传染模型并引入非线性方法,考察上海市场与世界其他27个资本市场在次贷危机与欧债危机期间传染性的特点。结果表明:首先,次贷危机期间,上海市场对世界各国(地区)市场的传染性显著增强;欧债危机期间,上海市场对欧洲与美洲市场的传染性大幅下降,但仍保持对周边地区市场较强的传染效应。其次,次贷危机期间,上海市场受到的传染性影响主要来自当期的周边地区市场,以及滞后一期的美洲市场;欧债危机期间,欧洲发达国家的市场对上海市场的传染性影响显著增强。最后,未预期收益率具有晴雨表的作用,未预期收益率的非线性变化对危机的发生具有一定的预测作用。Enlightened by Samarakoon＇ s thoughts, this paper, on the analysis basis of unexpected return, by distinguishing the overlapping of trading time to set up contagion model, studies the characteristics of contagion between Shanghai stock market and the other 27 markets in the world during American financial crisis and European debt crisis. The result shows： Firstly, during American financial crisis, the contagion from Shanghai stock market to the other world＇ s markets enhances significantly, while, during European debt crisis, the contagion decfines sharply from Shanghai stock market to European and American markets, hut the stronger contagion effect still exists in the neighboring countries in this region. Secondly, during American financial crisis, the contagion in Shanghai stock market is driven by the current surrounding markets and one-period lagged American markets; during European debt crisis, the contagion from developed countries in Europe to Shanghai stock market enhanced significantly. Finally, unexpected return is considered as barometer of economy and nonlinear change of unexpected return has a predictive effect on the crises.

关 键 词：未预期收益率 传染性 重叠性 非线性平滑转换模型 金融危机 

分 类 号：F831.59[经济管理—金融学]