全球主要股票市场对我国股市的多渠道协同波动溢出效应--欧债危机背景下基于中证行业指数视角的研究被引量：18

Multi-channel Common Volatility Spillover from Global Main Equity Markets to Chinese Equity Markets——Based on the CSI Industry Indices during the European Debt Crisis Perspective

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摘要本文提出了基于谱聚类方法、独立成分分析、GARCH和VAR的金融风险多渠道协同传染模型。从中证行业指数角度出发,利用该模型实证分析了欧洲主权债务危机背景下全球主要股票市场对我国股市的多渠道协同波动溢出效应。实证结果表明欧洲主权债务危机分多个渠道影响我国股市的不同行业指数的波动率,并且波动溢出呈现集中性特点。 In this paper,multi-channel common volatility spillover model is proposed based on spectral clustering,independent component analysis,GARCH and VAR. The model is used to analyze multi-channel common volatility spillover from global main equity markets to Chinese equity markets based on the CSI industry indices data during the European sovereign debt crisis. Empirical research shows that volatility of several CSI industry indices are affected by global main equity markets via multi-channels during the European sovereign debt crisis,and the volatility spillover takes the characteristic of aggregation.

作者苏木亚郭崇慧

机构地区内蒙古大学经济管理学院中国科学院数学与系统科学研究院大连理工大学系统工程研究所

出处《管理评论》 CSSCI 北大核心 2015年第11期21-32,95,共13页 Management Review

基金国家自然科学基金重点项目(71431008) 国家自然科学基金项目(61463039) 中国博士后科学基金项目(2015-M581192) 内蒙古自然科学基金项目(2014BS0706) 内蒙古大学高层次人才引进项目(30105-125116)

关键词金融风险多渠道协同波动溢出行业指数 financial risk multi-channel common volatility spillover industry indices

分类号 F832.51 [经济管理—金融学] F224 [经济管理—国民经济]

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