金融危机对证券市场波动溢出的影响研究

不同证券市场之间的波动存在时变、非对称、非线性相关的特性,尤其是在极端事件影响下,证券市场之间往往会表现出尾部相关的特性。以次贷危机为背景,利用时变Copula模型研究了证券市场间的波动溢出。结果发现无论是金融安全时期还是金融危机时期,均存在美国证券市场对中国证券市场的波动溢出,并且在金融危机期间这种波动溢出效应有增强的趋势。

A Study on the Effect of Financial Crisis on Volatility Spillover between Securities Markets

Volatilities in different securities markets demonstrate the characteristcs of time varying, non-symmetrical as well as non-linear related, especially under some extreme circumstances, there are always some kinds of tail correlations among different securities markets. The volatility spillover among different securities markets is examined with time varying copula model in the context of subprime crisis. The empirical results show there is volatility spillover from the U.S. securities market to China''s mainland securities market, at the same time, this volatility spillover is greatly strengthened during the financial crisis period.