金融危机对中国证券市场传染效应的影响  

Impact of financial crisis on contagion effect between China's securities markets

作　　者：侯县平[1] 黄登仕[1] 徐凯[2] 陈王[1] 

机构地区：[1]西南交通大学经济管理学院,四川成都610031 [2]成都大学经济管理学院,四川成都610106

出　　处：《系统工程学报》2015年第3期331-343,共13页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(71171025)

摘　　要：针对交易所债券市场、银行间债券市场和上海股票市场、深圳股票市场四个市场,通过Grarger因果检验分析了金融危机对中国证券市场动态风险传染效应的影响.实证结果发现,无论是债券市场内部和股票市场内部,还是债券市场与股票市场之间,金融危机前市场问的动态风险传染效应总体较弱,而金融危机后市场间的动态风险传染效应明显加强,表明金融危机显著强化了中国债券市场与股票市场动态风险传染效应,关联关系变得更加紧密.Based on exchange bond market, Inter-bank bond market, Shanghai stock market and Shenzhen stock market, this paper studies the impact of financial crisis on the contagion effects of dynamic risk between China＇s securities markets by the Granger causality test. The empirical results show that, the contagion effect of dynamic risks is relatively weak before financial crisis, either in bond （stock） markets or between bond and stock markets; while after the financial crisis, the contagion effects of dynamic risks becomes strong. It implies that that financial crisis significantly strengthens contagion effect of dynamic risk between markets, with correlations between markets significantly increasing.

关 键 词：传染效应 动态风险 金融危机 GRANGER检验 

分 类 号：F832.59[经济管理—金融学]