【作者】 王锐； 惠晓峰；

【Author】 Wang Rui, Hui Xiaofeng (School of Economic and Management, Harbin Institute of Technology)

【机构】 哈尔滨工业大学经济与管理学院；

【摘要】 基于广义同步理论,将各个国家视为独立的非线性动力学系统,将各国间通过多种渠道所维持的联系视为系统间的耦合作用,计算最大李雅普诺夫指数以刻画金融市场在金融危机传染不同阶段非线性动力学特征的变化;利用相关矩阵分析多市场间金融危机传染过程,通过比较原始数据和替代数据的特征值和特征向量寻找同步簇,并构造同步索引以反映综合传染水平。针对次贷危机的实证研究结果表明:(1)在金融危机传染过程中,各股票市场间的交互作用普遍存在,且不是单向或线性的而是交叉叠加的;(2)局部传染明显,欧洲和亚洲分别形成了同步簇;(3)各市场之间的相互作用是动态的,以此来分析金融危机在多个市场间的传染过程是一种有益尝试。更多还原

【Abstract】 The paper considers each country’s financial market as an independent nonlinear dynamic system based on generalized synchronization theory, the largest Lyapunov index is calculated to describe the change of nonlinear dynamic character during the contagion. Meanwhile, the relationship among the markets maintained by multiple channels is defined as the coupling effect, and correlation matrix analysis is used to discuss the financial crisis contagion in multi-markets. More specifically, by comparing the eigenvalues and eigenvectors of origin data and surrogate data, the phase synchronization cluster can be found to capture the contagion and measure the crisis degree. The 2007-2009 global financial crisis is presented as empirical study, 10 global main stock markets are chosen and the data is from 2005 to 2012, while the results show that the contagion among the markets display strong nonlinearity and there is obvious clusters in some regions.更多还原