基于分层条件Copula的金融危机传染路径研究

本文采用分层条件Copula理论来研究次贷危机和欧债危机下的危机传染路径问题。在研究中采用t-GARCH (1,1)模型拟合各个金融市场的股指日收益率,以条件Copula分析两次危机下中国大陆股市与美国股市、英国股市、日本股市、台湾股市、香港股市2005年1月至2012年7月间的风险传染关系。实证研究表明：次贷危机期间美国股票市场将危机传染到香港股票市场,再由香港股票市场传染其他亚洲股票市场。而在欧债危机期间英国股票市场分别直接传染美国股票市场和香港股票市场,再通过香港股票市场对其他亚洲股票市场传染。两次危机下香港股票市场均是亚洲股票市场受到危机传染的媒介,因此我国在制定防范金融危机传染政策时应考虑对香港股票市场的控制,在传播层面上控制金融危机对我国的传染,减少对我国金融系统的冲击。     

中国资本账户开放进程中跨境证券投资对国内金融市场的影响*

随着中国资本项目开放进程的推进,跨境证券投资对国内金融市场的冲击日益增强。在此背景下,本文首先通过构建考虑了资本市场收益率以及有管理浮动汇率制度的IS LM BP模型对跨境证券投资与中国国内金融市场的相互影响机理进行了理论探究,并基于中国2005年7月—2016年8月的月度数据,运用马尔科夫区制转移向量自回归模型对中国资本账户开放进程中跨境证券投资与人民币汇率、股票市场收益率、短期利率的联动关系进行了实证分析。研究结果表明：第一,四者的关联性存在明显的区制特征,区制1主要包括次贷危机时期（2007—2008年）、欧债危机时期（2010—2012年）以及后金融危机时期（2015—2016年）,经济呈现“股票市场收益率较低、跨境证券投资较少、短期利率较高、金融市场波动性大”的状态;区制2主要包括次贷危机前夕（2005—2006年）、次贷危机后的量化宽松时期（2009—2010年）以及欧债危机后的调整期（2013—2014年）,经济呈现“股票市场收益率较高、跨境证券投资较多、短期利率较低、金融市场波动性小”的状态。第二,当处于资本市场化进程较快、金融市场波动性较大的区制阶段（区制1）时,跨境证券投资与国内金融市场的联动关系更加明显。本文研究结论对于我国进一步开放资本市场具有借鉴价值和政策启示。     

境外投资者持债动机与提高我国债市开放度的建议

国债的收益率、收益率的波动性及储备货币地位是影响境外投资者持债动机的重要原因。美国国债相对较高的收益率、低波动风险和美元国际储备货币的强势地位增强了美国国债的吸引力;日本国债的低波动性使其境外投资者往往在危机时期将日本国债视为避风港。我国国债较高的收益率会加强境外投资者的持债动机,但高波动性不利于债市开放。可从完善境外投资者跨境投资途径、加强外汇市场建设、稳步推进人民币国际化等方面入手提高我国债市开放度。     

对房地产行业股市波动性的实证研究——基于GARCH模型

股票市场的收益率波动性一直是资本市场的研究热点之一，本文选取了从2006年8月25日到2009年5月25日房地产行业的收盘价数据，通过运用GARCH模型对房地产行业股票指数收益率进行分阶段分析，发现在牛市利好消息对股指波动影响比利空消息的影响大，在熊市则利空消息比利好消息的影响大，而且在熊市股指由于受金融危机影响波动性加大，从股指数据中分析得出房地产行业存在复苏迹象。     

中国股市的波动性及国际比较

本文通过描述性统计和基于GARCH模型族的计量分析,对上证A股综指、道指、富时100指数和日经225指数收益率序列有关波动性的基本特征进行了概括和比较,并得到基本结论：1998年7月至2008年7月期间,上海股市的总体波动性水平要高于其他三个股票市场：上海股市较高的波动性表现在日收益率序列、周收益率序列以及月收益率序列等多个时间维度上;同时,上海股市较高的波动性还表现在波动的幅度上和波动的频繁程度上。本文还指出,中国股票市场较高的波动性不能简单地从宏观经济波动性或对外金融开放角度来解释。     

沪深300股指期货上市后对中国股市影响分析

股指期货是股票现货市场衍生出的金融避险工具,是一种金融创新.它的推出是促进中国证券市场体制变革的里程碑,使我国证券市场告别单边市时代并趋向功能完整.但股指期货对中国股票市场的影响学术界存在不同观点.为此,本文通过收集股指期货推出前后相关数据,实证分析了其对标的股价指数系统风险影响以及对股票市场价格波动的影响.研究发现:股指期货的推出短期内确实造成了中国股票市场系统性风险增加;股指期货的推出使现货市场波动性减小;引入期货市场后,“旧信息”对波动性影响减小,其快速被市场吸收、反应,即信息流速加速;样本期内我国股市中不存在冲击影响的非对称性,没有杠杆效应.     

市场信息流与股票波动性分析

本文利用GARCH模型对引起股票收益率波动性的原因之一市场信息流的作用进行研究，并将交易量分解为进入市场的正的随机信息流和负的随机信息流两部分，从好消息、坏消息的角度研究中国股票市场波动冲击的持久性。     

非同步交易下股指期货与股票市场开收盘收益率间引导关系的实证研究

运用Granger因果检验、脉冲响应函数分析和方差分解,基于819组5分钟高频数据,对沪深300股指期货及其股票指数的开盘价格、收盘价格之间的引导关系进行检验。结果表明:期货市场与股票市场的开盘收益率相互引导;期货市场收盘收益率引导现货市场的收盘收益率和第二天开盘收益率;期货市场受自身和现货市场新息的冲击;现货市场受自身新息的冲击较大;期货市场对现货市场新息的变动更敏感;期货与现货的开盘收益率变化的总方差主要来自于现货市场,期货与现货的收盘收益率变化的总方差主要来自于期货市场。     

股指期货交易量对股指现货波动影响研究——来自香港恒生指数的实证

本文以香港恒生股票指数及其期货为样本,研究了股指波动性与指数期货交易量之间的单向因果关系。研究表明:股指现货市场的日间价格波动并没有明显增加股指期货的交易;但股指期货交易量的显著变化会导致未来一周后股票市场波动性的增加。这从一定程度上反映了香港市场股指期货主要被投资者用于套利而不是风险对冲的工具。     

后金融危机时代沪指收益率的EGARCH-M模型

肇始于美国的次贷危机对我国经济造成了强烈的冲击。本文采用2009年3月5日直至2013年2月18日的沪指数据,尝试运用EGARCH-M模型,来反映国际金融危机后沪指收益率波动性。     

The source of global stock market risk: A viewpoint of economic policy uncertainty

This study explores the effect of economic policy uncertainty (EPU) in four countries or regions (China, Japan, Europe, and the United States) on the contagion risk of investments in the global stock market. The stock returns of 22 stock markets worldwide are analyzed to determine which region’s EPU exhibits the greatest effect on regional systematic risk in the global stock market and on volatility risk in individual stock markets. First, all of the samples, the markets of different continents and the spillover indices of the developed and emerging markets, are calculated to observe the dynamic correlation among these markets with the aim of quantifying regional systematic risk and further examining the contagion risk effect of EPU. The results indicate the following: EPU in China is the most influential, and its contagion risk spreads to different regional markets, except for Europe; the effect of EPU in the United States is inferior to that in China; EPU in Japan merely influences contagion risk in emerging markets; contagion risk in European markets is not influenced by the four EPU indices; and EPU in Europe is not influenced by contagion risk in the global stock market. However, according to the volatility risk in each market, the EPU in Europe and China respectively influence Asian countries and European countries the most. These results may be attributable to the extremely high trade dependence among these countries because the performance of international enterprises is mainly determined by the economic policies of their trading partners.     

Stock market interdependencies: Evidence from the asian NIEs

National asset markets have become more integrated in recent years. This paper investigates the interrelationship, if any, among the stock markets in four newly industrialized economies (NIEs) in Asia. The results indicate that a significant link exists between the stock markets of Hong Kong and Singapore and those of Japan and the United States. On the other hand, the markets with severe restrictions on cross-country investing, that is, Korea and Taiwan, are not responsive to innovations in foreign markets. Finally, the United States stock market influences, but is not influenced by, the four Asian markets.     

亚洲金融危机后亚洲各国汇市的波动特征改变了吗

亚洲金融危机首先爆发在各国的汇市上。危机过后多年,亚洲汇市的波动与危机前的状况有实质性改变吗?本文运用GARCH模型比较了亚洲各国及地区(韩国、泰国、台湾地区、新加坡、日本、印度、马来西亚和中国)汇市波动变化并进行了排序。实证结果表明,亚洲危机后各国汇市波动的方差扩大,冲击的影响在汇市上持续时间也有所延长。其原因是亚洲各国汇市的联动增加了。为了确保在第三国市场的份额,各国都在频繁调整和干预本国汇市。     

Volatility spillovers across daytime and overnight information between China and world equity markets

This article explores the transmission of daytime and overnight information in terms of returns and volatility between Chinese and Asian, European and North American main stock markets. We propose a bivariate analysis with China as benchmark. By testing the constancy of the conditional correlations, we use an extended constant or dynamic conditional correlation GARCH model. The empirical findings show that across the daytime information transmissions, the relationships between China and Asian markets are closer than China and non-Asian markets, whereas through the overnight information transmissions these relationships are inverse. The analysis provides, before the crisis, that the overnight volatility spillover effects are from China to the United States and the United Kingdom. During the crisis, China affects the United Kingdom in terms of daytime volatility spillovers, whereas in terms of overnight volatility spillovers China affects the United States and is influenced by Japan. After the crisis, daytime volatility spillovers are from Taiwan to China, whereas the overnight volatility spillover effects are from China to the United States and the United Kingdom.     

The integration of direct real estate and stock markets in Asia

Currently, there exists relatively little research investigating the long-term association between stock and direct real estate markets. Using appropriate transaction-based property indices, this study focuses on the relationship between stock and direct real estate markets in nine Asian countries from the period 1980 to 2012 through both linear and nonlinear cointegration techniques. We find empirical evidence of linear cointegration of stock and property markets in Taiwan, fractional cointegration in Singapore and Hong Kong and no evidence of cointegration in China, Japan, Thailand, Malaysia, Indonesia and South Korea. It is concluded that segmentation of property markets from stock markets does not appear to be linked to the differences in the maturity of national financial markets and that the differing degrees of integration across Asia may instead be reflective of a range of factors impacting upon the underlying economic structures in each country.     

股市暴涨暴跌的界定及比较——以中国、美国、英国、日本股市为例

本文运用经验分布函数对中、美、英、日四国股市的暴涨暴跌进行了界定,并对四国股市暴涨暴跌的表现进行了比较分析。相比其它三国,中国股市在过去15年间成长性最强,暴涨暴跌的幅度最大,表现出较强的"政策驱动型"特征。美、英、日股市的暴涨暴跌呈现出明显的"市场和事件驱动型"特征。英国和美国股市波动呈现出较强的同步性,但日本股市波动较为独特。政策建议上,各国应通力合作,以应对全球系统性风险对股市的影响;中国政府应加强股市的市场化建设,同时谨慎开放资本市场。     

Integration Among Asia‐Pacific and International Stock Markets: Common Stochastic Trends and Regime Shifts

Are stock markets in the Asia‐Pacific region integrated with each other and with the US and Japan? The paper examines a number of common stochastic trends among stock prices in the US, Japan, Hong Kong, Korea, Singapore, Taiwan and Thailand. If integration exists it is a fairly recent phenomenon. Institutional and economic considerations suggest the same is true so that a single common stochastic trend among Asian and North American markets is a recent phenomenon. The reason is that the stock markets studied were only recently sufficiently liberalized to permit some form of integration to emerge. Also, not only was the 1987 stock market crash significant, but the 1991 Gulf War also signalled a turning point in the degree of stock market integration among the countries studied.     

Regime dependent volatilities and correlation in international securitized real estate markets

This paper studies the role of regime shifts and time-varying volatilities in market integration in a Markov-switching volatility regime environment among the US, European and Asian developed securitized real estate markets. With a two-state volatility model, the study finds the co-dependence, co-movement and synchronization of volatility regime at the high volatility state are stronger between the US and European securitized real estate markets. Although correlations among the markets are higher in a high volatility regime than in a low volatility regime, there is limited evidence of contagious effects during the high volatility periods between some markets. Moreover, the unsecuritized real estate markets are different from their securitized equivalent in the volatility regime characteristics, correlation pattern and level, as well as the extent of correlation change and contagion effect in high volatility state. Thus, the regime-switching results from stock markets may not be automatically extended to the corresponding public real estate markets, and requires rigorous empirical scrutiny.     

DYNAMIC STOCK RETURN–VOLUME RELATION: EVIDENCE FROM EMERGING ASIAN MARKETS

This paper empirically examines the dynamic stock return–volume relations for six emerging Asian markets: Indonesia, Malaysia, Singapore, South Korea, Taiwan, and Thailand. Evidence is found that trading volume Granger causes stock return in quantiles and the causal effects of volume are heterogeneous across quantiles. This shows that volume carries some information to the return and could be interpreted in light of theoretical models. In addition, we find that there is bi‐directional causality between stock return and trading volume in most of the markets. The finding indicates that those Asian emerging markets with different institutions and information flows than more mature markets have present similar causal effects on the stock return–volume relation. Furthermore, the cross‐country evidence shows that the US market helps to predict the returns of the emerging Asian markets.     

The asymmetric price adjustment between REIT and stock markets in Asia-Pacific markets

This paper applies the threshold error correction model to examine the relationship for real estate investment trusts (REITs) and stock, and their asymmetric adjustment behaviors in six Asian/Pacific financial markets: Australia, Japan, Singapore, Taiwan, Korea, and Hong Kong. Our results show that there has been long-term equilibrium in REIT and stock indices in most of these markets. To earn exceptional profits, it is recommended that investors can sell (buy) the REITs when the indices of REITs are lower (higher) than equilibrium in Australia, Singapore and Taiwan; on the other hand, they should sell (buy) when the REIT market goes up (down) in Hong Kong and Japan. A causality test revealed that previous information about stocks predicted changes in the REITs in all the Asian/Pacific markets. One can also find that the lead–lag relationships are significant. The threshold EC model predicts two-way causality under both the regimes for the financial markets in most countries during all the sample periods. In addition, the adjustment speeds for the stock indices are faster than that for the REIT indices as disequilibrium occurs. This paper also finds that the previous mentioned trading strategies generally remained the same during the period of sub-prime mortgage crisis. However, the threshold EC model predicts one-way causality for both the regimes for the financial markets in most countries during this crisis period. In addition, we also find that the severe shock in REIT markets led investors in Australia and Taiwan to be more conservative during this period. The REIT indices had more effect on stock indices after the sub-prime mortgage crisis. According to the empirical results, we can infer that the degree of market imbalance and the occurrence of the sub-prime mortgage crisis induce the changes in the investment behavior of market participants.