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金融危机的冲击是否导致我国股票市场风险联动的规律出现了新的变化?本文运用非线性STR模型,利用2006~2010年沪深300行业指数的日高频数据,以能源行业、原材料行业和消费行业为例,分析证券市场行业风险的联动性,并对比金融危机前后风险联动的差异。结果发现:证券市场不同行业的风险联动具有非线性特征,金融危机冲击后行业风险联动趋势增强,尤其是非线性的放大效应尤为突出。最后针对投资决策和宏观调控提出了建议。
Whether the impact of the financial crisis has led to a new change in the law of the linkage of the stock market risk in our country? This article uses the nonlinear STR model and the daily high frequency data of Shanghai and Shenzhen 300 industry indexes from 2006 to 2010 to analyze the energy industry, raw material industry and consumption Industry as an example, analyze the linkage of industry risk in the securities market and compare the difference of risk linkage before and after the financial crisis. The result shows that the risk linkage of different industries in the securities market has nonlinear characteristics, and the trend of linkage of industry risks after the financial crisis is strengthened. Especially the nonlinear amplification effect is particularly prominent. Finally, the investment decision-making and macro-control made recommendations.