欧美股票市场对我国股票市场的传染效应研究——基于次贷与欧债危机背景

近年来,金融危机频频爆发且易表现出传染性,这使得金融传染引起国内外学者的高度关注.本文选取合适的动态条件相关模型研究欧美市场与A股、港股市场的条件相关性,结合内生多重结构突变模型与T检验方法划分危机传染期与平稳期,选用考虑外部影响的CCK模型研究A股、港股市场的羊群行为,随后,引入收益率分散度指标,研究两次危机的羊群行为传染渠道.研究结果表明:港股市场受两次危机传染的速度均快于A股市场,受传染的持续时间均长于A股市场,但受传染的程度均弱于A股市场:次贷危机传染程度强于欧债危机的传染程度,但传染的持续时间短于欧债危机:羊群行为传染渠道是两次危机对A股、港股市场的传染渠道之一.

An empirical study of contagion effect from American and European stock markets to Chinese stock markets based on the subprime crisis and the European debt crisis

In recent years, financial crises broke out frequently and showed contagion, which caused high attention from scholars both at home and abroad. This paper selects the appropriate dynamic conditional correlation model to study conditional correlation among the Eurozone, the American, A-share, and the Hong Kong stock market. By using the endogenous multiple structural break model and T-test method, the paper divides the contagion period and the stable period, and uses CCK model which considers the external influences to study herd behavior on the A-share market and the Hong Kong stock market. And then, this paper introduces the cross-sectional absolute deviation index of returns to study the herd behavior channel during two crises. It can be concluded that the spread of two crises' contagion to the Hong Kong stock market was faster than that to the A-share market, and the contagion period of the Hong Kong stock market lasted longer than that of the A-share market, but the contagion extent of the Hong Kong stock market was weaker than that of the A-share market. In addition, the contagion effect of the subprime crisis was stronger than that of the European debt crisis, but the contagion period of the subprime crisis lasted shorter than that of the European debt crisis. It confirms that herd behavior channel is one of the contagion channel to the A-share market and the Hong Kong stock market during two crises.