| 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
——以中美股票市场为例[J].南京邮电大学学报(社会科学版）,2010,(2):64~69 |
| 基于变结构Copula模型的金融危机传染效应实证分析
——以中美股票市场为例 |
| Empirical Analysis of the Financial Crisis Contagion Effects Basedon Variable Structure Copula Model——An Example of Sino US Stock Market |
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| DOI： |
| 中文关键词: 美国金融危机 变结构Copula模型 传染效应 |
| 英文关键词:U.S. financial crisis variable structure Copula model contagion effects |
| 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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| 中文摘要: |
| 为检验美国金融危机的传染效应，根据中美股市指数日收益率，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美两国股市的相关性，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。 |
| 英文摘要: |
| 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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