| 基于变结构Copula模型的金融危机传染效应实证分析——以中关股票市场为例 |
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| 引用本文： | 刘湘云,高明瑞. 基于变结构Copula模型的金融危机传染效应实证分析——以中关股票市场为例[J]. 南京邮电学院学报(社会科学版), 2010, 0(2): 64-69,101 |
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| 作者姓名： | 刘湘云 高明瑞 |
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| 作者单位： | 广东商学院金融学院,广东广州510320 |
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| 基金项目： | 广东省自然科学基金项目（8151032001000006）;中国博士后科学基金项目（20090450627） |
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| 摘 要： | 为检验美国金融危机的传染效应,根据中关股市指数日收益率,进行Granger因果检验,并运用变结构Copula模型实证分析金融危机前后美国股市和中国股市的相关性变化。结果表明：美国金融危机加大了中关两国股市的相关性,但影响程度呈现出阶段性变化。在危机发生后的第一阶段美国金融危机对中国股市存在传染效应,在金融危机发生后的第二和第三阶段传染效应没有证实。
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| 关 键 词： | 美国金融危机 变结构Copula模型 传染效应 |
Empirical Analysis of the Financial Crisis Contagion Effects Based on Variable Structure Copula Model --An Example of Sino-US Stock Market |
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| LIU Xiang-yun,GAO Ming-rui. Empirical Analysis of the Financial Crisis Contagion Effects Based on Variable Structure Copula Model --An Example of Sino-US Stock Market[J]. Journal of Nanjing University of Posts and Telecommunications(Social Science), 2010, 0(2): 64-69,101 |
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| Authors: | LIU Xiang-yun GAO Ming-rui |
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| Affiliation: | ( Financial Institute, Guangdong University of Business Studies, Guangzhou 510320, China) |
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| Abstract: | In order to test the U. S financial crisis＇s impact on China＇s stock market, we carry out Granger causality test, and then use the variable structure Copula model to estimate the correlation of Sino-US stock market. The results show that the relevance of them was larger than that before the U. S financial crisis happened, the correlation was changed from time to time, the contagion effects was only exit in the first stage of the crisis, and in the last two stages after the crises happened the contagion effects was not found. |
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| Keywords: | U. S. financial crisis variable structure Copula model contagion effects |
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