次贷危机下美国和全球股市之联动

本文选用NADCC-EGARCH模型研究了次贷危机影响下全球主要股票市场的反应,并捕捉到欧亚五个股市同美国股市联动关系的变化过程。实证显示,由美国次贷危机引发的金融危机造成了全球股票市场不同程度的动荡,出现熊市迹象。美国同全球股市间的联动关系在危机扩散后存在结构性变化,且欧洲、日本等成熟市场与美国市场的联动关系受美国股市负面消息的影响较大。中国虽受到一定程度的冲击,但是国内股票市场结构相对稳定。

Interdependence of American and Global Stock Markets under Subprime Mortgage Crisis

This paper investigates how the international stock markets respond to the Sub-prime mortgage crisis by employing the NADCC -EGARCH model, and traces out the change of the dynamic interdependence between global and American stock markets. The empirical results indicate that the financial crisis triggered by the Sub-prime mortgage crisis had caused turmoil in the global markets and even signs of bear markets. Some structural changes can be found on the correlations between the American and global markets. Th...