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本文首次分析了市场波动和相关的一致性与差异,并进而考察金融危机期间传染的阶段特征。研究表明,危机期间,高波动与高相关具有较高的一致性,其他时期则存在差异;几乎不会出现高波动低相关的情形,但并非总是波动性的增加引致了关联水平的上升,关联水平的上升也可能会先于波动性的增加;危机初期,市场需要对复杂的信息进行不断地识别和过滤,以至于波动机制、相关机制都存在较为频繁的转换;次贷危机、欧洲主权债务危机的传染具有系统性特征。
This paper first analyzes market volatility and related coherence and differences, and then examines the stage characteristics of contagion during the financial crisis. The research shows that there is a high consistency between high volatility and high correlation during the crisis, while there are differences in other periods. There are almost no cases of high volatility and low correlation, but not always the increase of volatility leads to the rise of the correlation level, In the early stage of the crisis, the market needs to continually identify and filter complicated information so that the volatility mechanism and related mechanisms all have more frequent transitions. The subprime mortgage crisis, the European sovereignty The contagion of the debt crisis has a systematic character.