中日韩证券市场风险溢出效应研究  

Research on Risk Spillover Effect of China,Japan and the ROK Securities Market

作　　者：朴基石[1] 李峰[1] 

机构地区：[1]延边大学经济管理学院

出　　处：《延边大学学报（社会科学版）》2018年第4期28-36,共9页Journal of Yanbian University：Social Science Edition

基　　金：韩国高等教育财团(KFAS)国际学术交流项目(ISEF)资助~~

摘　　要：金融风险在国家间的溢出以及溢出效果的突然变化,成为各国金融安全的重要隐患。因此,政策当局不仅要监管国内金融风险,还要密切关注外部金融风险对本国金融市场的影响。通过实证分析1997年亚洲金融危机及2007-2009年全球金融危机时期中日韩证券市场风险的溢出效应,发现亚洲金融危机期间三国之间总的溢出效果大于全球金融危机时期,这表明发生在区域内的危机比发生在区域外的危机具有更大的影响。其次,金融危机初期风险溢出最为明显。再次,在这两次金融危机期间,中日韩三国风险溢出的相对位置截然不同。最后,国家间双边净溢出的相对位置受市场容量的影响,而不是市场成熟程度。因此,当外部发生金融危机等事件时,应在事件发生初期快速应对,而不是等待、观察危机事态再进行决策。此外,对于外部市场,应重点关注市场容量较大的金融市场。The spillover of financial risk between countries and the sudden change of spillover effect have become an important hidden danger of financial security in all countries.Therefore,the policy authorities should not only monitor domestic financial risks,but also pay close attention to the impact of external financial risks on domestic financial markets.The spillover effects of risk in the Asian financial crisis of 1997 and the global financial crisis of 2007-2009 in Japan and the ROK were analyzied.First,it was found that the total spillover effect between the three countries during the Asian financial crisis was greater than that during the global financial crisis,indicating that crises occurring within the region have greater impact than those occurring outside the region.Secondly,during the two financial crises,the relative position of risk spillovers between China,Japan and the ROK was very different.Finally,the relative position of bilateral net spillovers between countries is affected by market capacity rather than market maturity.Therefore,when an external event such as a financial crisis occurs,aquick response should be made at the initial stage of the event,rather than waiting for a decision to be made by observing the state of affairs of the crisis.In addition,the external market should focus on the financial market with larger market capacity.

关 键 词：中日韩 证券市场风险 溢出效应 

分 类 号：F831.51[经济管理—金融学]