共同冲击视角下全球股票市场关联性研究——基于时变广义动态因子模型的分析  

Correlation of Global Stock Markets from the Perspective of Common Shocks--An Analysis Based on Time-Varying Generalized Dynamic Factor Model

作　　者：田新民[1] 陈仁全 高菲 Tian Xinmin;Chen Renquan;Gao Fei(Schol of Economics,Capital University of Economics and Business)

机构地区：[1]首都经济贸易大学经济学院

出　　处：《国际金融研究》2024年第5期50-61,共12页Studies of International Finance

摘　　要：本文基于时变广义动态因子模型(tvGDFM),从共同冲击视角出发,对全球主要股票市场的长期关联性和瞬时关联性、低频关联性和高频关联性以及共同冲击下的共振效应进行了分析。研究结果表明:第一,公共因子是国际股票市场波动率信息的主要携带者,当受极端事件冲击时,公共单因子是国际股票市场关联效应的主要驱动力;第二,受极端事件驱动,国际股票市场的关联性具有明显的地理集聚效应和风险源头的属地特征,区域内股票市场间的风险传染强于跨区域股票市场间的风险传染;第三,国际股票市场的关联以长期关联和低频关联为主,且国际股票市场的关联性能够刻画公共冲击的长期性影响和风险传染的长记忆性特征;第四,极端事件提升了国际股票市场的波动同质化程度,发达经济体的同相关联促进了波动的顺周期性,而新兴经济体的异相关联一定程度上可以缓解外部冲击。As the global economic situation grows increasingly dire and uncertainty persists,the contagion of financial risks across market has become increasingly significant with the influence of a multitude of interconnected channels.It is urgent to examine the correlation between international stock markets and to propose countermeasures for China.Based on the daily data of stock markets of 31 countries and regions,this paper constructs a time-varying generalized dynamic factor model(tvGDFM)to analyze the long-term correlation,instantaneous correlation,low frequency correlation,high frequency correlation and resonance effects of common shocks in major global stock markets from the perspective of common shocks.The findings of the research are as follows.Firstly,the common factors serve not only as the main conveyors of volatility information in the international stock market but also as the main contributors to resonance effects within it;Secondly,influenced by extreme events,the correlation among international stock markets demonstrates significant geographical agglomeration effects and territorial characteristics of risk sources,and the contagion of risk between regional stock markets is stronger compared to that between cross-regional stock markets;Thirdly,the correlation within the international stock market has long-term periodicity,and risk contagion has long-term memory.The sensitivity of long-term correlation and instantaneous correlation to global and regional risk events is different;Fourthly,extreme events have intensified homogenization of volatility in the international stock market.Developed economies,characterized by homogeneous correlation,tend to promote pro-cyclicality of volatility,while emerging economies,with heterogeneous correlation,provide some cushioning against external shocks.In this paper,time-varying correlation,frequency-domain correlation and resonance effect of common shocks are integrated into a unified framework,enhancing the analytical perspective in international stock market correlati

关 键 词：时变广义动态因子模型 关联性 风险传染 共振效应 

分 类 号：F831[经济管理—金融学] F833