股指收益率结构突变、风险溢出与股市联动关系研究  

Research on the Relationship between Structural Changes of Stock Index Returns, Risk Overflow and Market Linkage

作　　者：朱莎 裴沛 李超宇 

机构地区：[1]中央财经大学中国金融发展研究院 [2]云南大学滇池学院

出　　处：《价格理论与实践》2017年第9期84-87,共4页Price:Theory & Practice

基　　金：国家自然科学基金青年科学基金项目"期权对标的股价暴跌影响的理论和实证"(71501197);项目负责人:钟锐

摘　　要：股指收益率的波动是反映金融风险的实时市场指标。本文首先,选择了沪深300、恒生300、标普500和MSCI欧洲指数自2005年4月8日-2017年10月10日的日度股指数据为样本,计算相应的日度股指收益率;然后,结合结构突变数量模型和我国经济的新形势对我国沪深股指收益率在全球金融危机和新常态时期出现的结构突变时间点进行确定;最后,通过GARCH族模型深入分析了中国沪深股市与中国香港以及美国、欧洲三大国际金融市场间的风险溢出和市场联动关系。Volatility in stock index returns is a real-time market indicator that can reflect financial risks. This paper first selects daily stock index data of Hu Shen300,Hang Seng300, SP500 and MSCI Europe Index from April 8, 2005 to October 10, 2017 for the sample, and calculates the corresponding index eturns. Then, combine the structure break model and the new situation of China＇s economy to determine all the break points in global financial crisis and new normal period. And then through the GARCH models, we analysis the risk spillover effects and linkage among Hu Shen, HK, US and European markets. The result shows that.（1）Stock index return＇s structure break risk in Hu Shen stock market can significantly change its volatility fluctuation characteristics.（2）There are significant volatility spillovers among Hu Shen、European and American stock markets in the time of new normal and financial crisis.（3）New normal and global financial crisis has changed the dynamic linkage between Hu Shen and other international financial markets.

关 键 词：结构突变 溢出效应 国际市场间关系 动态相关性 

分 类 号：F831.51[经济管理—金融学]