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金砖国家的经济发展越来越受到国际社会的广泛关注,尤其是其资本市场在次贷危机期间的收益表现更受到了国际投资者的青睐。本文通过建立分位数回归模型,选取2008年3月至2014年3月金砖国家股指日收益数据作为被解释变量,选取MSCI世界指数作为系统性风险因子,分析系统性冲击对不同分位点金砖国家各市场收益的影响以判别其稳定性。研究发现:金砖国家证券市场在极端条件下和在正常条件下受系统性冲击的影响都不同。投资时应根据不同的市场表现选择不同的投资策略。
The economic development of the BRICS countries has drawn more and more attention from the international community. Especially, the performance of their capital markets during the subprime mortgage crisis has received more and more favor from international investors. In this paper, we establish a quantile regression model, select the daily return data of the BRICS countries from March 2008 to March 2014 as the explanatory variables, and select the MSCI world index as a systemic risk factor to analyze the impact of systematic impact on different sub-sites The impact of BRICS market returns to determine their stability. The study found that: BRICS securities market under the extreme conditions and under normal conditions have a systematic impact on the impact of different. Investment should be based on different market performance, choose a different investment strategy.