中国、香港与美国股票市场波动传导的时延分析

金融风险传导的控制是金融风险管理中非常重要的内容,对金融市场波动传导的规律性进行研究具有重要的理论意义和实践价值。基于时间序列高阶谱分析的时延估计方法分析非高斯性、非线性的股票指数时间序列,可以确定各股票市场波动传导的具体领先——滞后时间和相互间的影响强度。研究结果表明,内地股票市场和香港股票市场波动传导时滞很短;内地股票市场波动的原因主要来自内部,香港和美国股市的波动对内地的影响并不大。

Analysis on the Time-delay of Volatility Transmission of Stock Market in China, Hong Kong and the U.S.

The control of financial risk transmission is very important in the financial risk management.Therefore,studying the regularity of the financial market＇s volatility transmission has a very important theoretical significance and practical value.Through the time-delay analysis,the result shows that：the delay of volatility transmission between the mainland stock market and the Hong Kong stock market is very short.The stock market volatility in the mainland is mainly due to interior,and it doesn＇t be influenced greatly by stock market in Hong Kong and the U.S..