股指波动率、市场流动性与全球股市崩盘传染  

Fluctuation Rate of Stock Index,Market Liquidity and Contagion of Global Stock Market Collapse

作　　者：徐飞[1,2] 唐建新[1] 

机构地区：[1]武汉大学经济与管理学院 [2]安徽师范大学经济管理学院

出　　处：《金融论坛》2017年第8期58-69,共12页Finance Forum

基　　金：安徽省哲学社会科学青年项目"制度距离;进入壁垒与安徽省区域产业融合研究"(AHSKQ2016D49);安徽省社会科学普及规划项目"基于大数据的社科普及表达模型及理论基础"(Y2016005);安徽省教育厅高校人文社会科学项目"CFO履职环境;离职事件与会计信息量影响研究"(SK2017A0277)

摘　　要：本文以全球28个国家或地区股指为样本,通过构建全球股市关联网络,实证检验国际股市崩盘传染性与传染机制。研究结果显示:股指波动率、市场流动性黑洞频率与股市崩盘概率显著正相关;样本国家或地区股市崩盘事件会通过股价联动、国际贸易渠道传染至其他关联国家或地区;外部股市崩盘事件会增加本地区股指波动率和流动性黑洞频率,进而导致股市崩盘发生传染。In this paper, 28 countries or regions in the world are used as samples to build a link network of global stock markets and present an empirical test of international stock market collapse and the collapse mechanism. The results of the paper show that the fluctuation rate of stock index and the frequency of market liquidity black-hole are correlated with the probability of stock market collapse significantly and positively; the collapse events of the sample countries or regions transmit to other linked countries or regions by the channels of stock price linkage, international trade; collapse events of the external stock markets increase the fluctuation rate of stock index and the frequency of market liquidity black-hole of the local regions, and then result in the contagion of stock market collapse.

关 键 词：股指波动率 资本市场关联 进出口贸易 股市崩盘 流动性黑洞 

分 类 号：F831.51[经济管理—金融学]