中国股市与世界其他股市之间的大风险溢出效应被引量：123

Extreme Risk Spillover between Chinese Stock Market and International Stock Markets

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摘要本文分析了中国证券市场A股、B股和H股之间，中国股市与世界其他股票市场之间的极端风险的溢出效应。实证结果表明：A股与B股之间存在着强烈的风险溢出效应，B股大幅下跌的信息可用来预测未来A股大幅下跌的可能性；A股和H股之间，尤其是B股和H股之间也存在着强烈的风险溢出效应；B股，尤其是H股，与世界其他股市之间存在着显著的风险溢出效应；与此相反，A股虽然与韩国、新加坡股市之间存在着一定的风险溢出效应，但它与日本、美国和德国等世界主要股市之间不存在任何风险溢出效应。 We provide an empirical study on spillover of extreme downside market risk amongShares A, B and H in Chinese stock market, and between Chinese stock market and overseas eq- uity markets. It is found that there exists strong risk spillover between Share A and Share B mar-kets, and the occurrence of a large downside risk in Share B markets can help predict the occur-rence of a similar risk in Share A markets. There also exists strong risk spillover between Share Aand Share H markets, and particularly between Share B and Share H markets. The latter havesignificant risk spillover with international stock markets. In contrast, although Share A marketshave some risk spillover with Korean and Singapore stock markets, they have no risk spilloverwith the equity markets in Japan, U.S. and Germany.

作者洪永淼成思危刘艳辉汪寿阳

机构地区康乃尔大学经济学系与统计科学系中国科学院数学与系统科学研究院系统所

出处《经济学（季刊）》 2004年第3期703-726,共24页 China Economic Quarterly

基金清华大学经济管理学院基金美国国家科学基金(SES-0111769) 中国国家自然科学基金(No.70221001)的资助

关键词中国证券市场世界风险溢出效应风险值风险-Granger 股票价格指数

分类号 F832.51 [经济管理—金融学]

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