[1]陈燕武,黄静菲.利用非参分位数回归模型分析金融市场的风险传染[J].华侨大学学报(自然科学版),2013,34(2):215-219.[doi:10.11830/ISSN.1000-5013.2013.02.0215]
　CHEN Yan-wu,HUANG Jing-fei.Research on Risk Contagion of Financial Markets by Using Nonparametric Quantile Model[J].Journal of Huaqiao University(Natural Science),2013,34(2):215-219.[doi:10.11830/ISSN.1000-5013.2013.02.0215]
点击复制

利用非参分位数回归模型分析金融市场的风险传染()
分享到：

《华侨大学学报（自然科学版）》[ISSN:1000-5013/CN:35-1079/N]

卷:
第34卷
期数:
2013年第2期
页码:
215-219
栏目:
出版日期:
2013-03-20

文章信息/Info

Title:
Research on Risk Contagion of Financial Markets by Using Nonparametric Quantile Model
文章编号:
1000-5013(2013)02-0215-05
作者:
陈燕武1;  黄静菲2
1. 华侨大学 数量经济研究院, 福建 泉州 362021;2. 华侨大学 经济与金融学院, 福建 泉州 362021
Author(s):
CHEN Yan-wu1;  HUANG Jing-fei2
1. Academy of Quantitative Economics, Huaqiao University, Fujian 362021, China; 2. College of Economics and Finance, Huaqiao University, Fujian 362021, China
关键词:
非参分位数回归;  金融市场;  交错鉴定法;  风险传染;  风险价值
Keywords:
nonparametric quantile regression;  financial markets;  interlaced appraisal method;  risk contagion;  value at risk
分类号:
O212;F830.9
DOI:
10.11830/ISSN.1000-5013.2013.02.0215
文献标志码:
A
摘要:
基于市场风险的角度,采用非参分位数回归模型,结合中国、美国、英国和日本4个国家股票市场的数据进行实证分析.实证结果表明:4个国家的金融市场存在着风险传染效应,而且这种传染是非线性的;风险产生国的金融市场首先受到影响,进而再传染到其他3个国家的金融市场,而且这种风险传染对于不健全的金融市场的影响程度要大于相对比较健全的金融市场.
Abstract:
The case study has been done in this paper with the nonparametric quantile regression method connecting with the data of stock markets of four countries— China, America, Britain and Japan, from a view of market risk, which shows that there are risk contagion effects among the financial markets of the four countries. And this contagion is nonlinear. The financial market of the country resulting in the risk is firstly affected and then the effects are contaminated into the financial markets of other three countries. The degree of effects on unsound financial markets is bigger than that of relatively sound financial markets.

参考文献/References:

[1] 王春峰,康莉,王世彤.货币危机的传染: 理论与模型[J].国际金融研究,1999(1):44-50.
[2] BEKAERT G,WU Guo-jun.Asymmetric volatility and risk in equity markets[J].Review of Financial Studies,2000,13(1):1-42.
[3] LONGIN F M,SOLNIK B.Extreme correlations of international equity markets duringextremely volatile periods[J].Journal of Finance,2001,56(2):649-676.
[4] CORSETTI G,PERICOLI M,SBRACIA M.Some contagion, some interdependence: More pitfalls in tests of financial contagion[J].Journal of International Money and Finance,2005,24(8):1177-1199.
[5] SERWA D,BOHL M T.Financial contagion vulnerability and resistance: A comparison of European stock markets[J].Economic Systems,2005,29(3):344-362.
[6] CARAMAZZA F,RICCI L,SALGADO R.Trade and financial contagion in currency crises[R].Washington D C: International Monetary Fund,2000:1-47.
[7] 樊智,张世英.多元GARCH建模及其在中国股市分析中的应用[J].管理科学学报,2003,6(2):68-73.
[8] 叶五一,缪柏其,谭常春.基于分位数回归模型变点检测的金融传染分析[J].数量经济技术经济研究,2007,24(10):151-161.
[9] KOENKER R W,Jr BASSETT G.Regression quantiles[J].Econometrica,1978,46(1):33-50.
[10] 朱平芳,朱先智.企业创新人力投入强度规模效应的分位数回归研究[J].数量经济技术经济研究,2007,24(3):69-80.
[11] 钱争鸣,郭鹏辉.上海证券交易市场量价关系的分位回归分析[J].数量经济技术经济研究,2007,24(10):141-151.
[12] 李育安.分位数回归及应用简介[J].统计与信息论坛,2006,21(3):35-39.
[13] 张守一,葛新权,王斌.非参数回归及应用[J].数量经济技术经济研究,1997,14(10):60-66.
[14] 叶阿忠.非参数计量经济学[M].天津:南开大学出版社,2003:7.
[15] ABBERGER K.Cross-validation in nonparametric quantile regression[J].Allgemeines Statistisches Archiv,1998,82(2):149-161.

备注/Memo

备注/Memo:
收稿日期: 2012-04-14
通信作者: 陈燕武(1971-),女,教授,主要从事金融工程和金融计量的研究.E-mail:cywhelen@163.com.
基金项目: 中央高校基本科研业务费专项基金资助项目(JB-ZR1163); 福建省社科规划基金资助项目(2011B161); 福建省泉州市科技计划项目(2012Z100)
更新日期/Last Update: 2013-03-20