期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

对外开放条件下的证券市场风险相关性及其度量 被引量：2

在线阅读 下载PDF
导出
摘要 对外开放条件下的中国证券市场将面临关联溢出、波动加剧以及市场大幅下跌 等主要风 险,这些风险 可能产生很大危害。本文简介了 VaR、Copula 和 ICAPM 模型在分析证券市场风险相关性的应用。
作者 张兵 李心丹
机构地区 南京大学工程管理学院
出处 《现代管理科学》 2005年第2期16-17,共2页 Modern Management Science
关键词 风险 中国证券市场 对外开放 溢出 条件 度量 波动 相关性 简介 分析
分类号 F832.5 [经济管理—金融学]
  • 相关文献

参考文献2

二级参考文献44

  • 1Embrechts, P., C. KI pelberg, and T. Mikosch, Modeling Extremal Events for Insurance and Finance. New York: Springer, 1997.
  • 2Engle, R.F. and T. Bollerslev, "Modelling the Persistence of Conditional Variances", Econometric Reviews, 1986, 5, 1-50.
  • 3Engle, R.F., T. Ito and W. Lin, "Meteor Shower or Heat Wave? Heteroskedastic Intra Daily Volatility in the Foreign Exchange Market", Econometrica, 1990, 59, 524-542.
  • 4Engle, R.F. and C. Manganlli, "Conditional Autoregressive Value at Risk: CAViaR Models", Working Paper, Department of Economics, University of California, San Diego, 1999.
  • 5Froot, K., O' Connell, P., and Seasholes, M., "The Portfolio Flows of International Investors",Journal of Financial Economics, 2001, 59, 151-193.
  • 6耿广棋.“中国股票市场系统风险的特征与传递机制”,深圳证券交易所出版物,2002.http:／／www.sse.org.cn.
  • 7Gilbert, C.L., "Professor Hendry' s Econometric Methodology", Oxford Bulletin of Economics and Statistics, 1986, 48, 283-307.
  • 8Glosten, L., R. Jagannathan, and D. Runkle, "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks", Journal of Finance, 1993, 48, 1779-1901.
  • 9Collier, C., P.F. Koehl and J.C. Rochet, "Risk-Taking Behavior with Limited Liability and Risk Aversion", Journal of Risk and Insurance, 1997, 64, 347-370.
  • 10Granger, C. W. J., "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods", Econometrica, 1969, 37, 424-438.

共引文献123

同被引文献29

  • 1程亦军.论俄罗斯证券市场[J].俄罗斯东欧中亚研究,2006(4):34-40. 被引量：4
  • 2陈漓高,吴鹏飞,刘宁.国际证券市场联动程度的实证分析[J].数量经济技术经济研究,2006,23(11):124-132. 被引量：41
  • 3Chan, K. C. , B. Gup, and M. Pan. An Empirical Analysis of Stock Prices in Major Asian Markets and the United States. Financial Review, 1992,27:289-307.
  • 4Cheng,H. , and Glascock,J. L. Dynamic Linkages Between the Greater China Economic 'Area Stock Markets-China's Mainland, Hong Kong, and Taiwan. Review of Quantitative Finance and Accounting, 2005,24: 343-357.
  • 5Chowdhury, A. R. Stock Market Interdependencies : Evidence from the Asian NIEs. Journal of Macroeconomics,1994, 16:629-651.
  • 6Darrat, A. , and M. Zhong. Permanent and Transitory Driving Forces in the Asian-Pacific Stock Markets. Financial Review, 2002,37:35-52.
  • 7Ghosh, A. , R. Saidi, and K. H. Johnson. Who Moves the Asia-Pacific Stock Markets-Japan or US? Empirical Evidence based on the Theory of Cointegration. Financial Review, 1999, 34 : 159-170.
  • 8Johnson, R. and L. Soenen. Asian Economic Integration and Stock Market Comovement. Journal of Financial Research, 2002,25:141-157.
  • 9Masih, A. M. , and R. Masih. A Comparative Analysis of the Propagation of Stock Market Fluctuations on Alternative Models of Dynamic Causal Linkage. Applied Financial Economics, 1997(7) :59-74.
  • 10Pirouz, D. M. The Effect of National Cultural Dimensions on Global Stock Market Volatility: A Network Analysis. University of California Working Papers, Series No. 01,2007.

二级引证文献18

现代管理科学
2005年 第2期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部