系统风险及其传递效应——来自上海和香港股票市场的经验证据被引量：7

Systematic Risk and Its Transmission Effect

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摘要本文以资本资产定价模型(CAPM)作为广义自回归条件异方差模型(GARCH)的均值方程,对2001年11月1日到2006年10月31日上海股票市场和香港股票市场的系统风险进行研究,并借助协整理论和Granger因果关系检验对这两个市场的系统风险之间的传递效应进行分析。结果表明,在研究期内,上海股票市场的系统风险急速下滑,其股价抗政策性风险的力量在加强;而香港股票市场的系统风险保持相对稳定。另外,Granger因果关系检验结果显示,在以过去五年的数据为样本时,系统风险从香港股票市场传递到上海股票市场;在以过去两年的数据为子样本进行检验时,恰好相反,系统风险由上海A股市场传递到香港股票市场。基于两个股票市场的现实特征,本文给出了相应解释。 Using R square of GARCH model with CAPM as the mean equation, this study estimates the systematic risks in Shanghai and Hong Kong stock markets respectively in the period of November 1, 2001 to December 31, 2006. By comparing their moving patterns in a dynamic model, we find drastic drop of systematic risk in Shanghai Stock Exchange A; on the other hand, the systematic risk in Hong Kong appears to be comparatively stable. Also, with Granger causality test, we investigate their transmission effects on each other, and find that Hong Kong＇s systematic risk Granger causes that of Shanghai. Interestingly, this causal relation reverses if we take samples for only last two years.

作者薛昕卜南扬曹杰朱子姝

机构地区南京大学经济学院金融学系香港科技大学经济学系

出处《国际金融研究》 CSSCI 北大核心 2007年第8期47-52,共6页 Studies of International Finance

基金国家社会科学基金课题(项目批准号:06CJL012) 教育部人文社会科学一般项目(项目批准号:05JC790100)研究成果

关键词上海股票市场香港股票市场系统风险传递 Shanghai Stock Market Hong Kong Stock Market Systematic Risk Transmission

分类号 F831 [经济管理—金融学]

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