基于Copula-MSM模型的股市联动性研究  

Research on Market Commovement Based on Copula-MSM Method

作　　者：周熙雯[1,2] 唐振鹏[1] 俞晓晗 黄友珀[1] 

机构地区：[1]福州大学经济与管理学院,福建福州350108 [2]福建江夏学院金融学院,福建福州350108

出　　处：《物流工程与管理》2017年第3期130-136,共7页Logistics Engineering and Management

基　　金：国家自然科学基金项目(71171056);福建省社会科学基金重点项目(2013A017);福建省高校新世纪优秀人才支持计划项目(JA11025S)

摘　　要：文中研究了次债危机前后沪市、港股和美股间的市场联动性,将样本数据划分为牛市、熊市和震荡市三个子样本,通过构建Copula-MSM模型进行研究。研究结果表明:次贷危机并未直接造成美股与港股、沪市间的联动性增强,而是具有时滞性;沪市与港股间的联动性在次贷危机发生后显著增强;次贷危机对内地的影响易于通过港股传导而来;和发达国家间较高的联动水平相比,内地股市与港股、美股间的联动水平仍比较低。This paper studied the market comovement among Shanghai stock market,Hongkong stock market and US stock market before and after the subprime crisis. We built Copula-MSM model by dividing the sample into three subsamples： bull market,bear market and shock market. Empirical results showed that the subprime mortgage crisis did not directly enhance dependency among US,Hongkong and Shanghai stock markets,but the influence had a time lag. There was a significant comovement effect between Hongkong and Shanghai stock markets. Hongkong stock market was an important bond between mainland and US stock markets. Compared with the high level of dependency between the developed countries,the comovement level among these three markets is still low.

关 键 词：市场联动性 马尔科夫多分形 COPULA函数 

分 类 号：F014.9[经济管理—政治经济学]