全球金融危机背景下的股市联动性变化——基于DAG和结构VECM的实证分析

随着美国股市大幅波动,全球金融市场剧烈动荡,美国次贷危机已转化成全球性金融危机.本文主要采用向量误差修正模型(VECM)、基于有向无环图(DAG)结果的VAR结构化、脉冲响应函数及方差分解等方法,对危机前和危机期间六个主要国家(地区)的股市进行联动性实证分析,发现危机期间股市联动性加强,美国股指对其他股指的影响增大;英美之间因实体经济竞争产生的联动在危机期间被全球风险导致的共同震荡所取代;危机期间日元套利资本在美日之间的大规模流动加剧了美股波动,同时一定程度上减弱了日股波动;危机期间日经指数取代恒生指数而成为美股向亚洲市场的直接价格传导者;上证指数与世界股指的联动在危机期间显著增强,但仍然是六股指中最独立的.本文的量化结果有助于预测危机期间各国股票市场的联动性波动.     

基于非线性协整模型的金融危机背景下中美股票市场联动研究

随着世界经济一体化趋势和金融自由化程度越来越强,国际上主要股票市场经常呈现齐涨共跌的趋势,对股票市场的联动的研究不仅对投资者具有重要的意义,对政府当局避免由于外部股票市场联动给本国带来的股票市场的波动和金融市场的稳定性同样具有重要的政策意义。由于资本市场的变量之间普遍存在的是非线性关系而非是线性关系,如果用线性模型进行研究就难免会出现偏颇的结论,因此本文使用比线性协整模型对金融危机背景下中美欧股票市场的联动性进行了研究,结果表明,相对与亚洲金融危机,在次贷危机期间,中国大陆股市与美国股市之间的联动性呈现了逐渐增强趋势。     

我国股票市场与国际市场的联动性研究——对次贷危机时期样本的分析

本文通过构建回归模型,考察了次贷危机前后我国股票市场与世界股票市场联动性的动态变化过程,并且与巴西股票市场进行了比较分析,从而对我国市场与国际市场的互动进行了客观的评价。实证结果表明,总体上我国股票市场与国际市场的联动性不强,并且时而为"即期联动",时而为"滞后联动",联动方式不确定。然而,次贷危机发生后.我国与国际市场的联动性有逐渐增强的趋势,尤其是与英国、香港地区等市场的联动在不断提高。这主要是由于次贷危机使国内外投资者的预期形成机制和投资理念发生了变化。     

后金融危机时代关于中国股市与世界重要股市联动性的思考——基于金融危机前后数据的对比分析

本文通过运用Johansen协整的方法,考察了2007年次贷危机乃至2008全球金融危机前后中国股票市场与世界股票市场联动性的变动情况,并且将印度、巴西、俄罗斯这三个与中国经济发展各方面最相似的国家作为对比项,从而得出中国股市与世界股市联动关系更加客观、可比的结论。实证结果显示：中国与各大股指的长期均衡关系在危机前相对较弱,金融危机发生后进一步减弱,但相对于印、巴、俄三国而言,长期联动关系受金融危机影响较小,保留下来了数量较多的与重要股指之间的协整关系。     

金融传染效应的内在机理与解释——基于次贷危机以来的证据

以2007年7月1日至2013年12月3日为研究区间,基于DCC-MGARCH模型对美国次贷危机前后美国股市影响亚洲七国和地区的时变传染性进行实证研究,并从基本面因素与非基本面因素两个层面解释金融传染的内在机理。研究表明,次贷危机期间,存在着美国股票市场对亚洲七国和地区股市的时变动态传染机制,金融危机的传染提高了美国与亚洲各国和地区股市的协动性;亚洲各国和地区股市也存在显著的协动性与传染性,各国股市动态相关系数存在着显著的均值回归现象。     

金融传染效应的内在机理与解释--基于次贷危机以来的证据

以2007年7月1日至2013年12月3日为研究区间,基于DCC-MGARCH模型对美国次贷危机前后美国股市影响亚洲七国和地区的时变传染性进行实证研究,并从基本面因素与非基本面因素两个层面解释金融传染的内在机理。研究表明,次贷危机期间,存在着美国股票市场对亚洲七国和地区股市的时变动态传染机制,金融危机的传染提高了美国与亚洲各国和地区股市的协动性;亚洲各国和地区股市也存在显著的协动性与传染性,各国股市动态相关系数存在着显著的均值回归现象。     

美国次贷危机对中国银行业风险管理的启示

美国次贷危机爆发以来,无论从全球资本市场的波动还是美国实体经济的变化来看,次贷危机的影响在美国乃至全球范围内都不容小视。对于正处于经济繁盛期的我国来说,这一场危机为我们敲响了居安思危的警钟,应从中找出有益于我国的启示。     

美股新高,你怎么看

开年以来美国道琼斯指数连连上涨,站上1896年以来历史新高点,标准普尔指数距历史高点仅一步之遥。作为全球经济的"大佬",美国经济对全球经济的主导地位毋庸置疑,美国股市也被视为全球资本市场的风向标,牵动着世界主要市场的神经。在金融危机、次贷危机阴云还未完全散去的时候,美国股市却率先表现出一副欣欣向荣的景象,道琼斯指数勇创新高,收复2007年以来的失地。     

从美国的次贷危机看我国的银行业监管

起源于美国的次贷危机已经演变成了席卷全球的金融风暴。虽然从目前的情况来看次贷危机的影响有所缓解。但是次贷危机的影响在全球范围金融系统的威胁依然存在。本文从分析次贷危机产生的根源入手．探讨起源于美国的次贷危机对我国银行业的相关提示。     

从美国的次贷危机看我国的银行业监管

起源于美国的次贷危机已经演变成了席卷全球的金融风暴.虽然从目前的情况来看次贷危机的影响有所缓解,但是次贷危机的影响在全球范围内对金融系统的威胁依然存在.本文从分析次贷危机产生的根源入手,探讨起源于美国的次贷危机对我国银行业的相关提示.     

Volatility spillovers between the Chinese and world equity markets

We propose measures of the directional volatility spillovers between the Chinese and world equity markets based on Diebold and Yilmaz's (2011b) forecast-error variance decompositions in a generalized vector autoregressive framework. It was found that the US market had dominant volatility impacts on other markets during the subprime mortgage crisis. The other markets were also very volatile, and driven by bad news, their massive volatilities were transmitted back to the US market. The volatility of the Chinese market has had a significantly positive impact on other markets since 2005. The volatility interactions among the markets of China, Hong Kong, and Taiwan were more prominent than those among the Chinese, Western, and other Asian markets were. The major correction of the Chinese stock market between February and July 2007 significantly contributed to the volatility surges of other markets. Owing to the restrictions on foreign investment, the Chinese stock market was not considerably affected in terms of market volatility during the subprime mortgage crisis.     

An empirical analysis of herd behavior in global stock markets

This paper examines herding behavior in global markets. By applying daily data for 18 countries from May 25, 1988, through April 24, 2009, we find evidence of herding in advanced stock markets (except the US) and in Asian markets. No evidence of herding is found in Latin American markets. Evidence suggests that stock return dispersions in the US play a significant role in explaining the non-US market’s herding activity. With the exceptions of the US and Latin American markets, herding is present in both up and down markets, although herding asymmetry is more profound in Asian markets during rising markets. Evidence suggests that crisis triggers herding activity in the crisis country of origin and then produces a contagion effect, which spreads the crisis to neighboring countries. During crisis periods, we find supportive evidence for herding formation in the US and Latin American markets.     

当前金融保护主义的影响、趋势及对策

由美国次贷危机引发的全球金融危机对实体经济和金融部门都造成了严重的冲击,欧美等发达经济体和印度、巴西等新兴市场国家经济增长放缓,不少国家陷入衰退.为防止危机进一步蔓延,对实体经济造成更严重的影响.金融保护主义成为一些国家的重要救市工具.本文对当前金融保护主义的形式、国内外影响和未来趋势进行了分析,并提出相应的策略应对金...     

从美国次贷危机看金融创新与金融监管的关系

2007年爆发的美国次贷危机，是一场在高度证券化和高度衍生产品化的金融体系中，由金融创新所引发、因货币政策和政府监管失误所造成的系统性金融危机。本文通过美国次贷危机中暴露出来的金融创新与金融监管问题，提出了加强对金融创新监管的对策。     

Spillover of fear: Evidence from the stock markets of five developed countries

This study investigates the spillover effect in five leading stock markets (i.e., the United States, the United Kingdom, Germany, Japan, and France). It estimates the spillover indices of these countries and finds that information transmission between these stock markets increases considerably after 1998. Germany and the United States are the main stock markets conveying information to other international markets. Germany primarily influences the French stock market, and the United States significantly influences many other stock markets. Results show that the US stock market shows three periods during which its net spillover effect exceeds zero: the period prior to 1997, the dot-com bubble from 2000 to 2002, and the subprime mortgage crisis and Lehman Brothers bankruptcy from 2007 to 2008. The fear index correlates significantly with the spillover of the US stock market into other markets. The spillover effect of the US stock market demonstrates asymmetry and the likelihood to spread positive fundamental information and non-fundamental information (e.g., fear).     

Global financial crisis and emerging stock market contagion: A volatility impulse response function approach

By employing the volatility impulse response (VIRF) approach, this paper presents a general framework for addressing the extent of contagion effects between the BRICSs’ and U.S. stock markets and how the BRICSs’ stock markets have been influenced in the context of the 2007–2009 global financial crisis. Our empirical results show during the period of 2007–2009 global financial crisis, there are significant contagion effects from the U.S. to the BRICSs’ stock markets. Yet, the degree of stock market reactions to such shocks differs from one market to another, depending on the level of integration with the international economy. Besides, the strengthened degree of stock market integration among the U.S. and BRICS has adverse effect such that if the 2007–2009 global financial crisis occurs today it may result in heavier impact on stock market volatility nowadays compared to the crisis-era.     

Financial crises and the dynamics of the spillovers between the U.S. and BRICS stock markets

We examine the spillover dynamics between the U.S. and BRICS stock markets using the multivariate DECO-GJR-GARCH model and spillover index method. We identify time variations in volatility equicorrelation and significant dynamic spillovers between these stock markets, as well as an increased impact of uncertainty on spillovers. Spillovers between markets intensify after the inception of the global financial crisis and subsequent European sovereign debt crisis. We also find, following the commencement of the crisis periods, that the U.S., Brazilian, and Chinese markets are net volatility transmitters, whereas the Russian, Indian, and South African markets are net recipients. These results shed new light on the information transmission channels between the U.S. and BRICS stock markets.     

On the stability of long-run relationships between emerging and US stock markets

While most studies have found no cointegration between emerging and US stock markets, some recent studies do find a long-run relationship exists between these markets. In view of these mixed findings, this study examines the stability of long-run relationships between a number of emerging stock markets and the US stock market using recursive cointegration analysis. The results show that no long-run relationship exists between emerging markets and the US market over most of the sample period throughout 1997. However, we do find clear evidence of cointegration in response to the recent global emerging market crisis in 1997–1998. We conclude that significant crisis events can change the degree of cointegration between international stock markets and, therefore, need to be taken into account in studies of long-run relationships between international stock markets.     

Beta Asymmetry in the Global Stock Markets Following the Subprime Mortgage Crisis

I set out in this study to examine the asymmetry in beta responses using the dynamic conditional correlation threshold generalized autoregressive conditional heteroskedasticity (DCC-GJR-GARCH) model. The empirical results reveal that asymmetry is discernible in both volatility and betas in the global stock markets. Furthermore, when leverage is linked with the price-to-book ratio, the results indicate that the beta asymmetry is attributable to the leverage effect. The results of this study also reveal that the declines in the price-to-book ratio following the subprime mortgage crisis have led to an overall increase in betas.     

Extreme Risk Measures for International REIT Markets

Extreme risks associated with extraordinary market conditions are catastrophic for all investors. The ongoing financial crisis has perfectly exemplified this point. Surprisingly, there are few studies exploring this issue for REITs. This study aims to close the knowledge gap. We conduct a comprehensive study by utilizing all three methodological categories to examine their forecasting performances of VaR and ES for nine major global REIT markets. Our findings indicate that there is no universally adequate method to model extreme risks across global markets. Also, estimating risks for the stock and REIT markets may require different methods. In addition, we compare the risk profiles between the stock and REIT markets, and find that the extreme risks for REITs are generally higher than those of stock markets. The fluctuations of risk levels are well synchronized between the two types of markets. The current crisis has significantly increased the extreme risk exposure for both REIT and stock investors. In all, our results have significant implications for REIT risk management, portfolio selection, and evaluation.