管理评论

›› 2017, Vol. 29 ›› Issue (12): 3-16.

• 经济与金融管理 •    下一篇

沪、深、港股市相依状态转换及其危机传染效应研究

郭文伟1, 陈妍玲2,   

  1. 1. 广东财经大学金融学院, 广州 510320;
    2. 广东财经大学外国语学院, 广州 510320
  • 收稿日期:2015-10-12 出版日期:2017-12-28 发布日期:2017-12-20
  • 作者简介:郭文伟,广东财经大学金融学院副教授,硕士生导师,博士;陈妍玲,广东财经大学外国语学院讲师,硕士。
  • 基金资助:

    广东省高等学校优秀青年教师培养计划项目（Yqgdufe1402）；广东大学生科技创新培养专项资金（广东攀登计划）一般项目（pdjh2017b0214）。

An Empirical Research on the Conversion of Dependency State and Crisis Contagion among Shanghai, Shenzhen and Hong Kong Stock Markets

Guo Wenwei1, Chen Yanling2,   

  1. 1. School of Finance, Guangdong University of Finance & Economics, Guangzhou 510320;
    2. School of Foreign Language, Guangdong University of Finance & Economics, Guangzhou 510320
  • Received:2015-10-12 Online:2017-12-28 Published:2017-12-20

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摘要：

本文采用上证综指、深证成指和恒生指数在1991-2015年期间的指数收益率数据，通过构建含有状态转换特征的动态MS Copula模型来全面刻画沪、深、港三地股票市场之间的动态相依性状态转换特征及其危机传染效应。研究结果表明：沪、深股市之间存在非对称和非线性的动态相依性，相依性水平较高；沪、港两市、深、港两市间存在对称且线性的动态相依性，相依性水平较低；三地股市间均存在高、低的两种相依性状态且可持续较强；状态转换概率具有时变性；外部金融危机的发生促使三地股市向高相依性状态转换，说明存在显著的危机传染效应。

关键词: 沪、深、港股市, 动态相依结构, 动态MS Copula, 危机传染效应

Abstract:

This paper builds a regime-switching dynamic copula model to characterize the dynamic dependency structure among Shanghai, Shenzhen and Hong Kong stock markets based on their daily index yield data from 1991 to 2015. The results show that there is high dynamic dependence which shows asymmetric, nonlinear and sustainable feature between Shanghai and Shenzhen stock markets. At the same time, there is low dynamic dependence which shows symmetrical and linear feature between Shanghai and Hong Kong stock markets as well as between Shenzhen and Hong Kong stock markets. Two different dependency states, namely high and low dependency, exist among the three stock markets. These state transition probabilities are time-varying. External financial crises significantly enhance dependency level among Shanghai, Shenzhen and Hong Kong stock markets. Such crises drive the correlation among the three stock markets from low dependence status to high dependence status, indicating that there exists crisis contagion.

Key words: Shanghai, Shenzhen and Hong Kong stock markets, dynamic dependence structure, dynamic MS Copula, crisis contagion