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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.
In recent years, the financial crisis has been frequent and contagious, which makes the financial contagion aroused great concern of domestic and foreign scholars.This paper chooses the appropriate dynamic condition correlation model to study the conditional correlation between the European and American markets and the A shares and the Hong Kong stock market, Multiple structure mutation model and T-test method were used to divide the period of crisis contagion and stationary. The CCK model considering external influences was used to study the herd behavior in the A shares and the Hong Kong stock market. Subsequently, indices of diversification of returns were introduced to study the effects of the two crisis sheep The results showed that: Hong Kong stock market was twice as fast as the A-share market by the two crises and the duration of contagion was longer than that of the A-share market, but the level of contagion was weaker than that of the A-share market: Subprime mortgage The degree of crisis contagion is stronger than that of the European debt crisis, but the duration of contagion is shorter than that of the European debt crisis. The herd behavior contagion channel is one of the two channels of contagion to the A-share market and the Hong Kong stock market.