世界市场对中国股票市场的传染与证券投资组合资本流动--基于极端负收益率的视角  

The Contagion Effect of the Chinese Stock Market from the Global Markets:A Cloglog Model Based on Extreme Negative Returns

作　　者：卢新生[1,2] 方胜[2] 

机构地区：[1]上海大学管理学院 [2]同济大学经济与管理学院

出　　处：《投资研究》2015年第7期4-25,共22页Review of Investment Studies

基　　金：国家自然科学基金项目(项目批准号71173088)的资助

摘　　要：本文从极端负收益率的角度运用cloglog模型研究世界其他股票市场对中国股票市场的传染性,并探讨证券投资组合账户中资本流动对传染性的作用。我们发现,世界市场对中国的传染性较弱,而亚洲地区和非G8集团对中国的传染性较大,他们在全球金融危机时期对中国的传染性显著升高。总资本流动是世界股票市场传染到中国的渠道之一,净资本流入在全球金融危机时期和欧债危机时期提高了对中国市场的传染性。我们的实证结果对投资者的资产配置和政府防范金融风险具有重要的参考意义。This paper examines stock market contagion effect from world market to the Chinese stock market by using extreme neg- ative returns in a specially designed Cloglog model. We focus on the capital flows from the portfolio investment account. We have documented a weak evidence of market contagion from the world to the Chinese market for the full sample, in general. However, we find a strong contagion effect from Asian and non-G8 ＇ s share markets to the Chinese market. And, we have also recorded an in- creased contagion effect from the Asian and non-G8＇ s share markets to the Chinese shares during the financial ttLrmoil periods. Our empirical results show that total capital flows from portfolio investment account are one of the key contagion channels; Net capital inflows reinforce the contagion effect from world to the Chinese market during the global financial crisis and European Debt Crisis. Our empirical results have important implications for investors allocating portfolio and government guarding against financial risks.

关 键 词：极端负收益 传染性 证券投资组合的资本流动 cloglog模型 

分 类 号：F832.51[经济管理—金融学]