摘要
对证券市场之间互动和传染关系的研究,不仅有助于揭示市场信息的跨国(境)传播机制特别是国际金融风险的传导机制,还可以增进人们对证券市场微观结构与信息效率的认识。本文系统化地提出了洪永淼教授新近发展的信息溢出检验体系(简称Hong方法),运用该方法体系详细考察并比较了我国A股市场与美股、港股在次贷危机前后的互动关系,揭示了三者联动结构与信息传递的全景图,包括互动的方式、方向、相对强度、当期影响与多期滞后关系以及时变性。研究结果表明:(1)在三者的关系中,美股处于主导地位,并且对港股、A股市场具有金融传染效应;(2)A股市场不再是"独立市",A股不仅能够反映美股、港股等外围市场的重要信息,而且已具有影响外围市场的能力;(3)A股与美股、港股之间的互动关系体现在均值溢出、波动率溢出、极端风险溢出等多个层面,既有线性关系也包括非线性关联方式。
The study of interplay and correlation among stock markets is very valuable to enrich market supervisors＇ knowledge about the cross-country transmission mechanism of information and financial risk; moreover, it also helps gain deep insight into market microstructure as well as informational efficiency in equity markets. Using the unified information spillover testing procedures proposed by Hong （2001, 2009 ）, we investigate the dynamic linkages among China＇ s A-shares market, the US stock market and the HK market to obtain the comprehensive picture of the relationships among these three markets. Report shows that （1） The US stock market plays a leading role among those three markets, with significant contagion spread from the US market into the HK market and to China A-shares market. （2） A-shares market was not independent of other markets. The shocks from other stock markets will make A-shares market fluctuate, and on the other hand, A-shares market also gains the power to shape other markets＇ behavior. （3） The interplay among those three markets includes mean spillover, volatility spillover and extreme risk spillover, and the relationship can be nonlinear as well as linear.
出处
《经济研究》
CSSCI
北大核心
2011年第8期15-25,37,共12页
Economic Research Journal
基金
国家杰出青年基金(B类)(70528001)
国家自科优秀创新群体基金(70221001)
国家自科基金青年项目(71001036)
教育部人文社会科学研究项目(09YJC790084)的资助
