发达市场对新兴市场危机净传染的特征研究

本文讨论金融危机期间发达市场对亚洲新兴市场的危机净传染现象.本文提出一种新的研究框架,包括:噪声成分提取方法、噪声成分相关性检验方法和资产组合噪声成分方差分解方法.实证研究表明,在次贷危机期间,亚洲新兴市场存在明显净传染现象;美国危机会通过亚洲发达市场向周边新兴市场传导.其中,中国香港市场的危机传导作用最为显著,成为亚洲新兴市场的"风向标",新加坡市场的影响具有明显时变特征,而日本市场对周边市场的主导作用逐步下降.在危机期,由于净传染现象的存在,新兴市场投资组合很难发挥风险分散的功能.

Features of contagion from developed markets to emerging markets

In this paper, we discuss the financial crisis contagion from developed markets to Asian emerging markets. We propose a new framework that includes: noise extraction method, noise correlation analysis and asset portfolio noise decomposition method. The empirical analysis shows that, there is a significant contagion effect from developed markets to emerging markets during the U.S. subprime crisis in 2007. The contagion effect from Hong Kong market is largest compared with other developed markets. The contagion from Singapore market has a time-varying feature, and the contagion from Japan to neighboring emerging markets is decreasing. Due to the existence of contagion effect, it is difficult to divert risk by using portfolio investment strategies.