国际股票市场风险传染效应研究——来自2007~2018年15个股票市场数据  

On the Risk Contagion Effect of International Stock Market Based on 15 Stock Markets Data from 2007 to 2018

作　　者：刘超[1,2] 王淑娇 刘宸琦 刘思源 LIU Chao;WANG Shujiao;LIU Chenqi;LIU Siyuan(College of Economics and Management,Beijing University of Technology,Beijing 100124,China;Research Base of Beijing Modern Manufacturing Development,Beijing 100124,China;Department of Computer Science,University of Southern California,Los Angeles 90001,USA;Dublin Institute,Beijing University of Technology,Beijing 100124,China)

机构地区：[1]北京工业大学经济与管理学院,北京100124 [2]北京现代制造业发展基地,北京100124 [3]南加利福尼亚大学计算机科学系,洛杉矶90001 [4]北京工业大学都柏林学院,北京100124

出　　处：《复杂系统与复杂性科学》2020年第2期54-66,共13页Complex Systems and Complexity Science

基　　金：国家自然科学基金(61773029,61273230);北京市属高校高水平教师队伍建设支持计划长城学者培养计划项目(CIT&TCD20170304)。

摘　　要：运用AR(1)-GJR(1,1)-SKT模型描述15个股票指数收益率边际分布,构建混合R-Vine Copula模型,分析2007年至2018年以及4次危机事件背景下(次贷危机、欧债危机、2015年中国股市异常波动和2018年中美贸易摩擦)国际股市的风险传染效应。研究表明:第一,长期来看国际股票市场之间保持对称的上下尾相依结构,风险传染会造成股市间Kendall秩相关系数和尾部相关系数的突然上升,并且表现出不对称的上下尾相依结构;第二,对比4次危机事件的风险传染效应,次贷危机传染效应强、持续时间长,欧债危机相对温和,2015年中国股市异常波动对国际股市传染效应较强,但持续时间短,2018年中美贸易摩擦对国际股市传染效应较弱;第三,欧美股市与中国沪深股市之间风险互相传染主要通过中国香港股市。This paper uses the AR(1)-GJR(1,1)-SKT model to describe the marginal distribution of 15 stock index returns.A hybrid R-Vine Copula model is constructed to analyze the risk contagion effect of international stock markets under the four crisis events,which include the subprime mortgage crisis,the European debt crisis,the abnormal fluctuations of the Chinese stock market in 2015 and the Sino-US trade friction in 2018.The empirical results show that the international stock markets maintain symmetrical top-to-bottom dependence characteristics in the long term.The risk contagion will cause the Kendall rank correlation coefficient and tail correlation coefficient among stock markets to rise suddenly.The subprime crisis has a strong contagious effect and a long duration,and the European debt crisis is relatively mild.In 2015,the abnormal fluctuations in the Chinese stock market had a strong contagious effect on international stock markets,but the duration was short.In 2018,the Sino-US trade friction held a weaker contagious effect on the international stock markets.China′s Shanghai and Shenzhen stock markets are more integrated with Hong Kong stock market in China.

关 键 词：相依性 风险传染 危机事件 混合R藤Copula 

分 类 号：F830.9[经济管理—金融学]