联动视角下的市场一体化、金融感染与极值事件—基于中国金

联动视角下的市场一体化、金融感染与极值事件—基于中国金融市场的实证分析

A Co-movement Approach to Market Integration,Financial Contagion and Extreme Events—Based on Empirical Analysis of Chinese Financial Markets

吴吉林

导师组：洪永淼教授、蔡宗武教授、林海教授

摘要

本文在联动视角下系统地考察了大陆金融市场间以及大陆金融市场与其他国家或地区金融市场间的一体化、金融感染以及极值风险。研究发现大陆金融市场间的相关性存在明显的动态特征，重大的信息和政策冲击都反映在相关性曲线上，而且“正向冲击”和“负向冲击”对相关性的影响呈非对称特征。沪、深两市场间一体化程度相当高，但股票和债券、股票和外汇以及债券和外汇市场间的一体化程度有待于提高。大陆股票的A股间、B股间一体化程度很高，这两组市场整合主要在1995年—1997年间完成的。A股与B股间的一体化程度也较高，其中亚洲金融危机和2001年2月B股改革推动了两组市场的整合。而A、B与H股间的一体化程度相对较低，它们间的整合开始较晚但仍在进行，其中股权分置改革和QDII的实施具有较大的推动作用。在此次次贷危机中，沪市与日、港股间的相依性上升并呈现一定的金融感染；而沪市与美股间的相依性反而下降，它们间未出现感染。另外，尾部相依性显示危机事件发生时，日股特别是港股对大陆股市的大风险溢出效应还是存在的，而美股对大陆股市的风险溢出效应基本很小。另外，本文研究发现2005年后沪深股市与港股间一体化水平上升较快，与台股间上升较慢，而港台股

市间一体化水平略有下降。相对于深市，沪市与港台股市间一体化水平上升更快，而且结构性变化发生更早，深市总是跟着沪市而动。尾部相依性显示此次危机中，两岸三地股市间市场风险显著增加，它们间呈现明显的金融感染。而且，左尾部相依性几乎同时骤然发生结构性变化，这表明两岸三地股市间极值风险呈现系统性特征。最后，本文研究显示沪市与主要国际股市间的尾部关系中只存在渐进独立性，而不存在渐进相依性，随着时间推移，这种尾部相依性在不断上升并开始向港股的尾部相依特征趋同。沪市与日、港股间的相依性上升程度明显高于与英、美股市间水平。另外，皮尔逊相关系数普遍低估了尾部间的相依关系，异方差效应能解释部分尾部相依变化。

关键词：联动性；相依性；市场一体化；金融感染；极值风险

Abstract

This paper is based on co-movement approach to systematically explore the integrations, financial contagions and extreme risks within mainland financial markets as well as between mainland stock markets and other regional and global stock markets. We find the correlations within Chinese stock, bond and exchange rate markets are dynamic and can reveal important policies and information shocks, the positive and negative shocks have obvious asymmetric effects on structures of DCC.Chinese mainland stock markets have reached very high integration, but the integrations of stock and bond markets, stock and exchange markets as well as bond and exchange markets have a long way to go. When we examine the integration of A,B and H shares ,we finds perfect integration in A markets, high integration in B markets, which happened mainly from the end of 1995 to 1997. The next high is integration of A and B markets, which were improved by Asia financial crisis in 1997 and B shares openness to domestic investors in 2001.The integrations between A、B and H shares are comparatively low and began very late but are still continuing。the roles in the integration played by nontradable shares reform and QDII are very crucial. In the Subprime Mortgage Crisis, the dependence between SSCI and N225, HIS increases, so there appears contagion within them ; however, we find an obvious decrease in

dependence between SSCI and S&P 500, so there is no contagion with them. Additionally, tail dependence shows there exits possible big risk spillover effects from N225 and especially HSI to SSCI. The study on Shanghai,Shenzhen,Hongkong and Twain stock markets shows the crisis speeds up the integration of mainland and Hongkong,Taiwan stock markets. The stock integration of mainland and Hongkong is much faster than that of mainland and Taiwan, however, the stock integration of Hongkong and Taiwan decreases to some extent. The integration of between Shanghai and Hongkong,Taiwan is higher and earlier that that of Shenzhen and Hongkong,Taiwan, which means Shenzhen market follows Shanghai market. Tail dependence shows China stock market risk increases significantly in the crisis and financial contagion happens. Furthermore, the left tail dependence shows structure changes almost at the same time, which means the stock market risk is systematic. The last but not the least, We find there only exists asymptotic independence ,no asymptotic dependence between Shanghai stock market and international stock markets, whose tail dependence is gradually increasing and begins to show the same property of Hongkong stock tail dependence but is still much lower that that of Hongkong and other markets. The tail dependence between Shanghai and Japan, Hongkong stocks is much higher than that of Shanghai and USA ,UK. Additionally,Pearson correlation underestimates the tail dependence, the heteroskedasticity effect can account for partial tail dependence change.

Keywords: comovement; dependence; market integration; financial contagion ; extreme risk