金融危机背景下欧美股市联动性研究——基于状态空间模型和分位数回归的实证分析  

On the Linkage Effect Between European and American Stock Markets in the Context of Financial Crisis——An Empirical Analysis Based on State-space Model and Quantile Regression

作　　者：何康[1] 殷敖 王珂飞[1] 

机构地区：[1]湖南大学金融与统计学院,湖南长沙410079

出　　处：《东北大学学报（社会科学版）》2013年第6期575-581,共7页Journal of Northeastern University(Social Science)

基　　金：中央高校基本科研业务费青年教师资助项目(11HDSK055)

摘　　要：通过选取欧美股市中比较具有代表性的英国FTSE 100指数、法国CAC 40指数、德国DAX 30指数及美国S&P 500指数作为研究对象,将时间区间划分为金融危机前时期、次贷危机时期及欧债危机时期,并运用状态空间模型及分位数回归对金融危机背景下欧美股市的联动性进行了实证检验。研究结果表明:欧美股市间存在着长期的均衡关系,金融危机前时期美国股市对欧洲股市具有短期价格引导关系,但欧洲股市对美国股市却不具有短期价格引导关系。次贷危机期间经济基础层面和市场传染层面的因素共同决定着美股对欧股的短期价格引导关系,欧债危机期间欧美股市互为格兰杰因果关系,欧美股市的联动性显著增强。整体而言,美股走势对欧股走势的影响较大。By choosing stock index as the object of study, including London FTSE 100 stock index, French CAC 40 stock index, German DAX 30 stock index and Standard ＆ Poor＇s 500 stock index, which could represent well European and American stock markets, this paper first divides the time interval into the pre-crisis period, the subprime crisis and the European debt crisis, and then uses the state-space model and quantile regression to examine empirically the linkage between stock markets in Europe and the United States in the context of financial crisis. The results show that there is a long- term equilibrium relationship between European and American stock markets, and in the pre-crisis period U.S. stock markets have a short-term price guide relationship to European stock markets, but European stock markets do not have a short-term price guide relationship to U. S. stock markets. During the subprime crisis, the factors at economic base and market infection levels jointly determine the short-term price-guiding relationship between U.S. stocks and European stocks. And during the European debt crisis, there are mutual Granger causality in the stock markets, and the linkage between European and American stock markets is significantly enhanced. As a whole, the movements of U.S. stocks have greater impacts on the movements of European stocks.

关 键 词：金融危机 股票市场联动性 状态空间模型 分位数回归 

分 类 号：F830.9[经济管理—金融学]