欧美主权债务危机的股票市场流动性变点检测  

Liquidity change-points detection of sovereign debt crisis in Europe and the United States based on the analysis of stock market

作　　者：刘晓星[1] 方琳[1] 张颖[1] 唐攀[1] 

机构地区：[1]东南大学经济管理学院,南京211189

出　　处：《管理科学学报》2014年第7期82-94,共13页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70973028;71273048);东南大学重大科学研究引导基金资助项目(SKYD20110006);江苏省青蓝工程资助项目的部分成果

摘　　要：流动性是现代金融体系的生命力,基于流动性视角的分析表明,融资流动性、资产流动性和货币流动性的严重失衡是导致欧美主权债务危机迅速传染扩散的主要驱动力.本文在传统价格和成交量的基础上引入流动性影响力指标,构建了股票市场流动性度量指标体系;在Spearman相关系数法的基础上,运用二元Copula和概率积分变换构建了新型的变结构点检测方法流程,有效实现了欧美债务危机国与英、日等核心发达国家以及中、印等新兴国家间股票市场流动性冲击的变结构点检测.Analyses based on liquidity perspectives show that serious imbalance of funding,asset and monetar-y liquidity caused the quick spread of the European and American sovereign crisis. Besides the traditional price and volume indicators,the paper introduces liquidity impact indicators and constructs a liquidity meas-urement system for stock market. Based on Spearman method,the paper builds a new change-points detection process via binary Copula and probability integral transformation and successfully realizes effective change-points detection of liquidity shocks between stock markets in Europe,America,and core developed countries and emerging countries.

关 键 词：欧美主权债务危机 流动性冲击 变结构点检测 

分 类 号：F830[经济管理—金融学]