VIX指数对股票市场间联动性影响的实证研究

近期金融危机频繁发生，国际金融市场之间的动态联动性成为一个重要的研究课题。以往学者大都直接研究金融市场间的相关性，而忽略了外生金融变量对金融市场间相关性的影响。本文将对上述问题进行研究，借鉴Silvennoinen和Terasvirta(2015) STCC模型的思想，假定Copula参数受外生变量的影响，建立时变动态Copula模型——ST-VCopula模型，并基于该模型探究市场波动率（VIX指数）对股票市场之间相关性的影响，进而对几个国家的股票指数数据进行了实证分析。实证结果表明VIX指数对股票市场间联动性产生了显著的影响。VIX指数的获取简单便捷且更为直观，为市场间动态联动性的研究提供了另一种途径，可以为投资者在进行分散投资等金融活动时提供一定的指导和建议。

An Empirical Study on the Reciprocal Impacts of VIX Index on Stock Market

As financial crises come up from time to time, studies on the dynamic reciprocal impacts among international financial markets have become one of the most important topics. Scholars used to focus on the correlationship among the financial markets directly, while neglected the impacts of exogenous financial variables on those markets. In view of STCC model proposed in the article of Silvennoinen and Terasvirta(2015), this paper does some studies on the above-mentioned issues, assuming that Copula's parameters are affected by exogenous variables, building up the time-varying dynamic Copula model – ST-VCopula model, furthermore, based on this model probing into the reciprocal impacts of market volatility index(VIX index) on the correlationship among the stock markets and an empirical study done with data from stock markets of several countries. The result shows that there is a significant reciprocal effect of VIX index on stock markets. The VIX index, being easy and handy, as well as illustrational, provides an option for studying the reciprocal impacts on stock markets, and some guidance and advice for individual investors to engage in financial activities.