摘要
基于非线性范式分析金融市场风险溢出效应,并引入多元LMSV模型研究国际股市间的风险溢出效应。为了优化LMSV模型的谱对数似然函数,提出混沌禁忌遗传退火算法。研究表明,港、日、美、英、德等发达国家或地区的股市都对作为新兴市场代表的沪市存在正的风险溢出效应,但溢出效应的规模相差较大,作为金融危机源头的美股对沪市的风险溢出效应最大;沪市对港、日、美股市存在负的风险溢出效应,而对英、德股市存在正溢出效应。
The paper analyzes the risk spillover effect of financial markets based on the nonlinear paradigm. After investigating the long memory of the stock market, and then intro-duces multivariate-LMSV model to study the risk spillover in international stock markets. To optimize the Spectral log -likelihood function of LMSV model, the paper proposes chaotic taboo genetic annealing algorithm. Studies show that the stock markets of developed coun- t tries or region like Hong Kong,Japan, the United States,Britain and Germany have positive risk spillover effect to Shanghai stock market, which represents the emerging market. Howev-er, the sizes of spillover effect are obviously different. As the source of financial crisis, U. S. stock market has largest risk spillover effect on Shanghai market. There is a negative spillo-ver effect from Shanghai to Hong Kong,Japan and the United States, in which the largest is to Japan,while there are positive spillover effects on the British and German markets.
出处
《金融经济学研究》
CSSCI
北大核心
2013年第1期59-69,共11页
Financial Economics Research
基金
国家自然科学基金项目(71273067)
教育部人文社会科学规划基金项目(11YJA790089)
中国博士后科学基金特别资助项目(201003230)
关键词
国际股市
风险溢出效应
长记忆
LMSV模型
international stock markets
risk spillover effect
long memory
LMSV model
