波动和相关的一致性与差异及传染的阶段特征

本文首次分析了市场波动和相关的一致性与差异,并进而考察金融危机期间传染的阶段特征。研究表明,危机期间,高波动与高相关具有较高的一致性,其他时期则存在差异;几乎不会出现高波动低相关的情形,但并非总是波动性的增加引致了关联水平的上升,关联水平的上升也可能会先于波动性的增加;危机初期,市场需要对复杂的信息进行不断地识别和过滤,以至于波动机制、相关机制都存在较为频繁的转换;次贷危机、欧洲主权债务危机的传染具有系统性特征。

Consistency and Differences Between Volatility and Correlation and Stage Characteristics of the Contagion

This article uses a model to analyze the consistency and differences between market volatility and correlation,and then investigates the stage characteristics of contagion during financial crisis.We find that high volatility is consistent with high correlation during American subprime mortgage crisis,but not the same for other periods.The regime of high volatility and low correlation has almost not presented in stock markets.However,increase of volatilities will not always result in the increase of correlations;increase of correlation may emerge before the increase of volatility sometimes.Markets need to gradually identify and filter the complex information in the early stage of the crisis,which results in the frequent switches in different volatility and correlation regimes.It is necessary for countries to cooperate with each other in the crisis.