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

›› 2015, Vol. 27 ›› Issue (11): 21-32,95.

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

苏木亚^1,3, 郭崇慧²

1. 内蒙古大学经济管理学院, 呼和浩特 010021;
2. 大连理工大学系统工程研究所, 大连 116024;
3. 中国科学院数学与系统科学研究院, 北京 100190

收稿日期:2013-09-06 出版日期:2015-11-30 发布日期:2015-12-07
作者简介:苏木亚,内蒙古大学经济管理学院副教授,硕士生导师,博士,中国科学院数学与系统科学研究院博士后;郭崇慧,大连理工大学系统工程研究所教授,博士生导师,博士。
基金资助:
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)。

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

Sumuya^1,3, Guo Chonghui²

1. School of Economics and Management, Inner Mongolia University, Hohhot 010021;
2. Institute of Systems Engineering, Dalian University of Technology, Dalian 116024;
3. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190

Received:2013-09-06 Online:2015-11-30 Published:2015-12-07

摘要/Abstract

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。

关键词: 金融风险, 多渠道协同波动溢出, 行业指数

Abstract:

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.

Key words: financial risk, multi-channel common volatility spillover, industry indices

苏木亚, 郭崇慧. 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[J]. , 2015, 27(11): 21-32,95.

Sumuya, Guo Chonghui. 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[J]. , 2015, 27(11): 21-32,95.

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