中国股市与世界其他股市之间的大风险溢出效应  

Extreme Risk Spillover between Chinese Stock Market and International Stock Markets

作　　者：洪永淼 成思危[2] 刘艳辉[2] 汪寿阳[2] 

机构地区：[1]康乃尔大学经济学系与统计科学系 [2]中国科学院数学与系统科学研究院系统所100080

出　　处：《经济学（季刊）》2004年第3期703-726,共24页China Economic Quarterly

基　　金：清华大学经济管理学院基金;美国国家科学基金(SES-0111769);中国国家自然科学基金(No.70221001)的资助

摘　　要：本文分析了中国证券市场A股、B股和H股之间，中国股市与世界其他股票市场之间的极端风险的溢出效应。实证结果表明：A股与B股之间存在着强烈的风险溢出效应，B股大幅下跌的信息可用来预测未来A股大幅下跌的可能性；A股和H股之间，尤其是B股和H股之间也存在着强烈的风险溢出效应；B股，尤其是H股，与世界其他股市之间存在着显著的风险溢出效应；与此相反，A股虽然与韩国、新加坡股市之间存在着一定的风险溢出效应，但它与日本、美国和德国等世界主要股市之间不存在任何风险溢出效应。We provide an empirical study on spillover of extreme downside market risk amongShares A, B and H in Chinese stock market, and between Chinese stock market and overseas eq- uity markets. It is found that there exists strong risk spillover between Share A and Share B mar-kets, and the occurrence of a large downside risk in Share B markets can help predict the occur-rence of a similar risk in Share A markets. There also exists strong risk spillover between Share Aand Share H markets, and particularly between Share B and Share H markets. The latter havesignificant risk spillover with international stock markets. In contrast, although Share A marketshave some risk spillover with Korean and Singapore stock markets, they have no risk spilloverwith the equity markets in Japan, U.S. and Germany.

关 键 词：中国 证券市场 世界 风险溢出效应 风险值 风险-Granger 股票价格指数 

分 类 号：F832.51[经济管理—金融学]