我国股市的对外溢出效应与国际影响力研究——基于Copula-DCC-GARCH模型  

The Spillover Effect and International Influence of China's Stock Market:Based on the Copula-DCC-GARCH Model

作　　者：李红权[1,2] 何敏园 

机构地区：[1]湖南师范大学商学院,长沙410081 [2]湖南师范大学数学与计算机科学学院,长沙410081 [3]湘南学院数学与金融学院,郴州423000

出　　处：《系统科学与数学》2017年第8期1790-1806,共17页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金资助项目(71473081);教育部人文社会科学研究规划基金项目(14YJA790025)资助课题

摘　　要：随着经济全球化与中国经济的不断发展,我国在世界经济中的地位和影响力日益提升,在此背景下本文旨在考察我国资本市场的溢出效应与国际影响力.文章基于CopulaDCC-GARCH模型和一种新的结构变点检测方法,对于入世以来我国股市国际影响力的总体特征、结构特征、时变性及突变性进行了全面考察,结论如下:1)总体上而言,我国股市对于国际股市的影响力是逐步提升的;从国别结构上看,与亚洲股市的联动最为紧密,其次是金砖国家,对于欧美股市也有比较显著的影响力.2)我国股市的溢出效应和国际影响力具有时变性,并存在3-4个变点,这些特征与我国的经济金融基本面因素相关.这表明我国股市承载了经济体的相关信息,并具有影响国际市场的能力.With the economic globalization and the development of China＇s economy, China＇s status and influence in the world economy is growing. In this context, this article aims to study the spillover effects and international influence of China＇s capital market. The general characteristics, structural characteristics, time variation, and structural breaks of China＇s stock market＇s international influence since its accession to the WTO have been fully studied in this article based on Copula -DCC-GARCH and a new detection method of breakpoints, and the conclusion is as follows： i） Generally speaking, the influence of China＇s stock market on the interna- tional market is gradually improved; from the point of view of national structure, its comovement with Asia＇s stock markets is the most closely, next is the BRIC, and also has a significant influence in the European and U.S. stocks. 2） The spillover effect and international influence of China＇s stock market has time variation and there are 3-4 structural change points, which are associated with China＇s economic and financial fundamentals. All these indicate that China＇s stock market bears the relevant information of the economy and has the ability to influence the international market.

关 键 词：溢出效应 Copula—DCC—GARCH 时变性 结构突变 

分 类 号：F224[经济管理—国民经济] F832.51