中国股市与世界其他股市之间的大风险溢出效应

该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.

EXTREME RISK SPILLOVER BETWEEN CHINESE STOCK MARKET AND INTERNATIONAL STOCK MARKETS

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 ...