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现有文献主要讨论单个市场收益的长记忆性质或者市场间收益的相依性,但都没有将上述两个问题联系起来进行研究.与以往研究不同,文章将研究多个国家的股票市场收益与美国股票市场收益之间尾部相依性的长记忆问题.这不仅能检验市场的有效性,还有助于刻画国际市场间的相依结构,观察危机传染的特征并做出预警.为了刻画市场间尾部相依长记忆性的动态变化结构,文章对现有模型加以改进,提出了长记忆性的变点检测方法.从变点的角度实证分析了中国、日本、德国和法国股市与美国股市之间尾部相依的长记忆性,进而研究了次贷危机的传染现象.实证结果表明,文章提出的模型在分析金融传染方面是有效的,在不同的股市之间的实证结果具有相似性.第一变点和第二变点的时刻分别与次贷危机的结束和开始时间相对应,基于两个变点将数据分为三段对估计结果进行分析发现,下尾相依系数在危机传染期间明显变大,而且相依性的长记忆性也明显增强,说明次贷危机对所分析的国家具有传染效应.
The existing literature mainly discusses the long-memory nature of individual market returns or the interdependence of market returns, but none of these two problems are related to research.Different from the previous studies, the article will study the stock market returns of multiple countries and the United States Stock market returns tail dependence between the long memory problem.This not only test the effectiveness of the market, but also help to characterize the interdependence between the international market structure, observe the characteristics of crisis contagion and make early warning.In order to characterize the market tail Long memory dynamic change structure, the paper improves the existing model and proposes a long memory change-point detection method.From the point of change, this paper empirically analyzes the tail dependence between the Chinese, Japanese, German and French stock markets and the U.S. stock market And then studies the contagion phenomenon of the subprime mortgage crisis.The empirical results show that the model proposed in this paper is effective in analyzing financial contagion and the empirical results between different stock markets are similar.The first change point and The time of the second change point corresponds to the end of the subprime mortgage crisis and the start time respectively. Based on the two change points, the data is divided into three-segment pair estimates The results showed that the lower tail dependency coefficient became significantly larger during crisis contagion, and the long memory of dependency was also significantly increased, indicating that the subprime mortgage crisis had an infectious effect on the countries analyzed.