【摘要】：本文采用亞洲主要國家股市與美國股市的日交易數(shù)據(jù),對美國次貸危機影響亞洲主要國家股市的動態(tài)傳染機制進行實證研究。結(jié)果表明:美國次貸危機期間亞洲各國股市與美國股市的相關系數(shù)均顯著高于次貸危機前與次貸危機后,股市成為美國次貸危機重要的傳染機制;各國股市與美國股市動態(tài)相關系數(shù)存在結(jié)構性斷點,但是沒有足夠證據(jù)表明相關系數(shù)存在趨勢性漂移,即動態(tài)相關系數(shù)存在均值回歸現(xiàn)象(mean-reversion);各國股市與美國股市均為正相關,但是在相關程度上存在顯著性差異;各國股市與美國股市動態(tài)相關系數(shù)均存在著顯著的時變性,這為資產(chǎn)管理公司實行積極管理策略提供了依據(jù)。
[Abstract]:Based on the daily trading data of major Asian and American stock markets, this paper makes an empirical study on the dynamic contagion mechanism of the sub-prime mortgage crisis affecting the stock markets of major Asian countries. The results show that the correlation coefficient of Asian stock market and American stock market during the subprime mortgage crisis is significantly higher than that before and after the subprime mortgage crisis, and the stock market has become an important contagion mechanism of the sub-prime mortgage crisis in the United States. There are structural breakpoints in the dynamic correlation coefficient between the stock market and the United States stock market, but there is not enough evidence that the correlation coefficient exists trend drift, that is, the dynamic correlation coefficient exists the mean regression phenomenon (mean-reversion), and the stock market is positively correlated with the American stock market. However, there are significant differences in the correlation degree, and the dynamic correlation coefficients of stock market and American stock market are significantly time-varying, which provides a basis for asset management companies to implement active management strategy.
【作者單位】： 遼寧工程技術大學;
【基金】：遼寧省教育廳2012科學研究一般項目(W2012047)
【分類號】：F831.5

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