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区间事件分析法--次贷危机对中资银行的影响研究 被引量:11

Impacts of Financial Crisis on State-Owned Commercial Banks——An Interval Event Study Approach
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摘要 本文采用区间事件分析法研究了次贷危机对中资银行的影响。本文提出了全新的区间事件分析理论框架,将原有的区间时间序列分析理论与事件分析法相结合,提出了"数量化"表示事件影响的"区间系数",并给出了经济解释。实证研究以中国银行和工商银行A股和H股的动态"区间收益率"数据为研究对象,采用新的"区间"视角分析次贷危机包含的一系列事件对中资银行产生的影响。实证结果表明:(1)中国银行H股受到次贷危机引发的国际事件影响较A股更大;工商银行H股和A股对次贷危机的反应比较一致。(2)两家银行的H股对次贷危机的反应均开始于新世纪集团事件,均早于A股对次贷危机的反应。(3)贝尔斯登、标准普尔第二次降低次贷资产评级和雷曼兄弟等事件引发了次贷危机的三个高潮。 This paper provides a new interval event study methodology to explore the impacts of events that resuhed from financial crisis on state-owned commercial banks. The proposed methodology combines the interval time series analysis with Conventional event study method, and firstly develops "interval coefficient" and corresponding economic significance. Empirical evidence, which is produced from interval return series data, suggests that: 1) H shares are more sensitive to the events than A shares. 2) Inception of H shares began from the event of New Century Financial Corporation. 3) Events of Bear Stearns, Standard & Pool's, and Lehman Brothers induce the most serious impacts on interval returns.
出处 《管理评论》 CSSCI 北大核心 2009年第2期53-61,共9页 Management Review
基金 国家自然科学基金海外青年学者合作研究基金(70528001) 国家自然科学基金创新研究群体基金资助项目(70221001)。
关键词 区间时间序列 事件分析 次贷危机 区间收益率 interval time series event study financial crisis interval return.
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