【摘要】 随着金融全球化的推进,各金融市场间的联系愈加紧密,随之涌现出大量以金融危机为背景的中美股市风险传染效应研究。其研究的理论基础主要为经济基础学说和市场传染学说。相应的实证研究方法百花齐放,但也存在不少局限,格兰杰因果关系检验只能定性分析市场间的风险传染方向,ARCH模型对研究变量的边缘分布设置要求严格,而小波变换法的实现过程较为复杂。针对牛熊市不同阶段以及不同风险水平下的差异,将Copula函数和ARCH模型及CoVaR方法结合起来进行中美股市风险传染研究将成为未来的研究重点。更多还原

【Abstract】 With the development of financial globalization, the links between financial markets become more and more closed. Then a large number of risk contagion effect about US and Chinese stock markets based on financial crisis emerged. The theoretical basis includes the theory of economic foundation and market contagion theory. The empirical method is various but there are many limitations. Granger causality test can only analyze the risk contagion direction qualitatively, there is a strict limit about the marginal distribution of variables in ARCH models and it is a very complex process about the wavelet transform method. In the future, based on the difference between bull market and bear market under different risk level, we will focus on risk contagion between US and Chinese market combined Copula function, ARCH model and CoVaR method.更多还原