未預(yù)期收益率、傳染性與金融危機(jī)——來自上海市場(chǎng)與世界市場(chǎng)的證據(jù)

摘要： 本文借鑒Samarakoon的思想,以未預(yù)期收益率作為分析基礎(chǔ),通過區(qū)分市場(chǎng)間交易時(shí)間的重疊性,建立傳染模型并引入非線性方法,考察上海市場(chǎng)與世界其他27個(gè)資本市場(chǎng)在次貸危機(jī)與歐債危機(jī)期間傳染性的特點(diǎn)。結(jié)果表明:首先,次貸危機(jī)期間,上海市場(chǎng)對(duì)世界各國(guó)(地區(qū))市場(chǎng)的傳染性顯著增強(qiáng);歐債危機(jī)期間,上海市場(chǎng)對(duì)歐洲與美洲市場(chǎng)的傳染性大幅下降,但仍保持對(duì)周邊地區(qū)市場(chǎng)較強(qiáng)的傳染效應(yīng)。其次,次貸危機(jī)期間,上海市場(chǎng)受到的傳染性影響主要來自當(dāng)期的周邊地區(qū)市場(chǎng),以及滯后一期的美洲市場(chǎng);歐債危機(jī)期間,歐洲發(fā)達(dá)國(guó)家的市場(chǎng)對(duì)上海市場(chǎng)的傳染性影響顯著增強(qiáng)。最后,未預(yù)期收益率具有晴雨表的作用,未預(yù)期收益率的非線性變化對(duì)危機(jī)的發(fā)生具有一定的預(yù)測(cè)作用。
Enlightened by Samarakoon’s thoughts,this paper,on the analysis basis of unexpected return,by distinguishing the overlapping of trading time to set up contagion model,studies the characteristics of contagion between Shanghai stock market and the other 27 markets in the world during American financial crisis and European debt crisis. The result shows: Firstly,during American financial crisis,the contagion from Shanghai stock market to the other world’s markets enhances significantly,while,during European debt crisis,the contagion declines sharply from Shanghai stock market to European and American markets,but the stronger contagion effect still exists in the neighboring countries in this region. Secondly, during American financial crisis,the contagion in Shanghai stock market is driven by the current surrounding markets and one-period lagged American markets; during European debt crisis,the contagion from developed countries in Europe to Shanghai stock market enhanced significantly. Finally,unexpected return is considered as barometer of economy and nonlinear change of unexpected return has a predictive effect on the crises.