金融市场中的共振效应:信号提取与溢出网络  

Resonance Effects in Financial Markets:Signal Extraction and Spillover Networks

作　　者：张旭 杨晗 刘晓星[2] Zhang Xu;Yang Han;Liu Xiaoxing(School of Management Engineering,Nanjing University of Information Science&Technology,Nanjing 210044,China;School of Economics and Management,Southeast University,Nanjing 211189,China)

机构地区：[1]南京信息工程大学管理工程学院,南京210044 [2]东南大学经济管理学院,南京211189

出　　处：《统计与决策》2023年第20期141-146,共6页Statistics & Decision

基　　金：国家自然科学基金资助项目(71903097);教育部人文社会科学研究青年基金项目(18YJC790226);江苏省自然科学基金资助项目(BK20190767)。

摘　　要：文章利用经验小波变换对金融市场中单个变量的收益率提取共振信号,运用共振信号构建同期和非同期静态溢出网络,并对金融市场的整体和单个金融市场的溢出效应进行动态分析。结果表明:金融市场受自身滞后溢出效应的影响最大,外汇市场在金融市场中的对外溢出效应最强,是主要的风险传递者,且单个金融市场内部的溢出效应比市场之间的溢出效应大;总溢出效应随时间变化而发生波动,在危机事件发生时,总溢出效应发生明显波动;对比同期和非同期溢出网络发现,同期信息在分析金融市场风险溢出效应中发挥着更重要的作用。This paper uses the empirical wavelet transform(EWT)to extract resonance signals from the returns of each variable in the financial markets,then uses the resonance signals to construct contemporaneous and non-contemporaneous spillover networks,and finally dynamicallyanalyzes the spillover effect of the whole financial market and individual financial market.The results go as below:Financial markets are most affected by their own lagged spillovers.The foreign exchange market has the strongest external spillovers among financial markets and is the main risk transmitter.Spillovers within single financial markets are larger than those between markets.Total spillover effects fluctuate over time,with significant fluctuations occurring at the occurrence of a crisis event.When comparison of contemporaneous and non-contemporaneous spillover networks is made,the result reveals that contemporaneous information plays a more important role in spillover effect analysis.

关 键 词：金融市场 共振效应 溢出效应 同期和非同期溢出网络 

分 类 号：F832.5[经济管理—金融学]