基于Hawkes过程中美股市大幅波动互激效应的研究

近年来，由于中美经济联系日趋紧密，中美股票市场大幅波动的互激效应明显增强。本文考虑中美股市时差和法定节假日差异等因素，运用标值Hawkes过程对2006-2017年CSI300和S&P500大幅波动收益率数据进行建模，结果表明：（1）中美股市大幅波动互激效应存在不对称性，美股市场大幅波动对中国股市的互激效应更强；（2）中美股市大幅波动的幅度对互激效应不存在显著影响；（3）中美股票市场对于大幅波动互激效应的消化速度存在差异，中国股票市场消化美股大幅波动互激效应的速度较快。本研究对金融市场监管者和投资者均有一定意义。

Research on Large Volatility Mutually Exciting Effect of Chinese and American Stock Markets Based on Hawkes Process

In this paper, large volatility mutually exciting effects between the Chinese stock market and the U.S. stock market are discussed under the circumstances that the two markets are linked much more closely than ever before. Over the past ten years, there are more obvious coordinative price movements between the Chinese and the U.S. stock market, especially in large volatility price movements. For example, in October 27, 2008, CSI300 index fell 7.12%. Stimulated by the fall of A shares, the United States stock market S&P 500 index also fell 3.17% after the opening of the stock market. Large volatility mutually exciting effect is that a large price fluctuation in a certain market can be transmitted to other markets through various channels, and then trigger the sharp fluctuation of asset prices in other markets. The theory foundation of large volatility mutually exciting effect is the positive feedback mechanism and the contagion of the financial crisis. There are generally three traditional research methods on the volatility spill-over effect:Multivariate GARCH Model, Copula and VAR. However, there are some defects in these methods. Hawkes process is a special path dependent point stochastic process, which is compatible for modeling large volatility mutually exciting effect, the Hawkes process is use to model the mutually exciting effect of CSI300 and S&P500 large fluctuations from 2006-2017. It is found that (1) The large volatility mutually exciting effect between Chinese stock market and U.S. stock market is asymmetric, and U.S.stock market large volatility exciting effect towards Chinese stock market is stronger;(2) The amplitude of large volatility has no significant influence on the mutually exciting effect;(3) The duration of mutually exciting effect between the stock markets in China and U.S. is different. And the duration of mutually exciting effect from Chinese stock market to U.S. stock market is longer. The result has some implications for financial market regulators and investors.