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本文以全球28个国家或地区股指为样本,通过构建全球股市关联网络,实证检验国际股市崩盘传染性与传染机制。研究结果显示:股指波动率、市场流动性黑洞频率与股市崩盘概率显著正相关;样本国家或地区股市崩盘事件会通过股价联动、国际贸易渠道传染至其他关联国家或地区;外部股市崩盘事件会增加本地区股指波动率和流动性黑洞频率,进而导致股市崩盘发生传染。
Based on the stock index of 28 countries and regions in the world, this paper empirically tests the contagion and contagion mechanism of international stock markets by building a global network of stock markets. The results show that stock index volatility and market liquidity black hole frequency are significantly and positively correlated with the stock market crash probability. The stock market crash in the sample countries or regions will spread to other related countries or regions through stock price linkage and international trade channel. The external stock market crash will increase Stock index volatility and liquidity black hole frequency in the region, which in turn led to the stock market crash contagion.