股票市场国际联动与金融传染  

International Stock Market Co-movements and Financial Contagion

作　　者：钱宗鑫[1,2] 付鹏璐 宋科[1,2,3] QIAN Zong-xin;FU Peng-lu;SONG Ke(School of Finance,Renmin University of China)

机构地区：[1]中国人民大学财政金融学院 [2]中国人民大学中国财政金融政策研究中心 [3]中国人民大学国际货币研究所

出　　处：《中国工业经济》2023年第2期36-54,共19页China Industrial Economics

基　　金：教育部人文社会科学重点研究基地重大项目“分工结构与金融风险防范研究”(批准号22JJD790084);国人民大学科学研究基金(中央高校基本科研业务费专项资金资助)项目(21XNQ006)资助。

摘　　要：为了更好地解释2020年以来中国股票市场与其他主要股票市场间的金融传染问题,本文采用内生状态转移的马尔可夫区制转移向量自回归模型作为统一分析框架,讨论了中国股票市场和美国、英国、法国、德国、日本股票市场间的金融传染特征,并为研究中国股票市场金融传染渠道提供了典型事实和经验证据。模型估计结果表明,相较于美国、法国、日本,中国股票市场是金融传染的接受者。中国股票市场与美国、英国、法国、德国、日本股票市场间存在着随状态大幅改变的同时性市场联动关系。当经济从不确定性较低的状态转移到不确定性高的状态时,同时性的市场联动变得更加剧烈。本文结论与金融传染病理论的预测相符,而且表明金融传染主要渠道会随经济状态的改变而改变。Due to the outbreak of the COVID-19 pandemic and the intensification of international conflicts, major international stock markets in general have higher risks and higher correlations.Meanwhile,the fluctuations in the infectivity and severity of COVID-19,and international relations increase the possibility of structural changes in international stock co-movements. As a result,it is interesting to re-investigate the characteristics of financial contagion in international stock markets in the context of the COVID-19 pandemic and intensified international conflicts,and re-examine the relevant theories of financial contagion.This paper uses Markov regime-switching vector autoregressive(VAR) model with endogenous regime switching as a unified framework to analyze the financial contagion between Chinese stock markets and stock markets in the United States,the United Kingdom,France,Germany,and Japan. The model we use in this paper relaxes the restriction of uncorrelation between state transition and the error terms in the VAR and allows time-varying state transition probabilities to be determined by a set of pre-determined or exogenous variables. We believe the framework is more comprehensive and more appropriate in the period of the COVID-19 pandemic due to the following reasons. First,the Markov regime-switching model fits the data with structural changes better. Second,the model can be used to analyze financial contagion in different definitions. In literature,while some studies only refer financial contagion to increment in market co-movements in crisis or after negative shocks,others may focus on co-movements at any time or state. The model can count for both of them. Third,the econometric model also accounts for both lead-lag correlations in the international stock market returns and co-movements between the returns,which are both widely used measurements of financial contagion in the literature but with few consensuses. Fourth,by testing which variables significantly influence state transition probabilities,we ca

关 键 词：金融传染 股票 市场联动 

分 类 号：F125[经济管理—世界经济]