境外股市对中国A股市场的非对称传递性研究——以±5%极端收益率为例  被引量:1

Asymmetric Transmission from Global Stock Markets to China's A-Share Market——An Empirical Study Based on ±5% Extreme Returns

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作  者:卢新生[1,2] 方胜[1] 

机构地区:[1]同济大学经济与管理学院,上海201804 [2]上海大学管理学院,上海200444

出  处:《山西财经大学学报》2016年第4期38-49,共12页Journal of Shanxi University of Finance and Economics

基  金:国家自然科学基金项目(71173088)

摘  要:基于资产价格的传染性理论,研究了境外39个国家和地区同时出现极端收益率对中国A股市场的非对称性传递。实证结果表明:境外股票市场对中国A股的传递性具有明显的区域特征,其中,亚洲地区的影响最强,G8集团的影响不显著;境外极端正、负收益率对中国A股的传递性不具有明显的非对称性特征;金融危机时期,未发现境外股市对中国A股的非对称性传递有强化的趋势;相较于平稳期,金融危机时期中国A股市场出现极端负收益率的概率增大,这主要源于国内因素而非境外市场的影响。Based on the asset's contagion theory, this paper investigates asymmetric transmission effect from global stock markets to the Chinese A-share market by using extreme returns from 39 countries or regions. Our empirical resuhs show that the transmission effect from global markets to the A-share market is of clear regional features. Among these regions, Asian markets have the strongest influence on the Chinese stocks, while the influence from G8 markets is insignificant. We also fail to find any clear asymmetric transmission of extreme positive and negative returns from the foreign to the Chinese market. In addition, our results show no evidence that asymmetric transmission effect has increased during the Financial Crisis period. However, compared to the stable periods, the probability that extreme negative returns occur in China's A shares has significantly increased during turmoil periods due to some domestic factors rather than transmitted effect from across the boundaries.

关 键 词:极端收益率 传递性 非对称性 金融危机 

分 类 号:F832.5[经济管理—金融学]

 

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