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在经典资产定价模型的基础上,构建了基于风险传染理论的关联股市双边溢出羊群效应理论模型。结果发现:当股票市场间不存在风险传染时,某一股市风险积聚仅会引发本市场内的羊群效应,而不会引发或加剧关联股市的羊群效应;当关联股票市场之间存在风险传染时,某一股市的风险积聚则会引发或加剧关联股市的羊群效应,即关联股市的风险传染会引发双边溢出羊群效应。本文通过构建BCCK半参数可加模型,利用上证A股与深证A股两个关联股票市场的数据,对理论模型进行实证检验。结果显示:(1)金融危机之前,我国上证A股与深证A股市场的风险积聚均导致本市场出现显著的羊群效应,但并未引发对方市场产生羊群效应;(2)金融危机期间,在上证A股市场与深证A股市场间风险传染增强的情况下,一个市场的风险积聚会引发或加剧对方市场的羊群效应,证实了金融危机期间两个股票市场之间存在双边溢出羊群效应。
Based on the classical asset pricing model, a theoretical model of bilateral spill-over herding based on risk contagion theory is constructed. The result shows that when there is no risk contagion in the stock market, the accumulation of risk in one stock market will only lead to the herding effect in this market, but will not cause or exacerbate the herding effect of the associated stock market. When there is a risk between the associated stock markets When contagious, the risk accumulation in a particular stock market triggers or exacerbates the herding effect of the associated stock market, ie the risk exposure of the associated stock market triggers a bilateral spill-over herding effect. In this paper, through the construction of BCCK semiparametric add-on model, the paper uses the data of two affiliated stock markets of A-share and A-share of A-share to test the theoretical model. The results show that: (1) Prior to the financial crisis, the risk accumulation in both Shanghai A-shares and Shenzhen-listed A-shares led to significant herding in this market but did not lead to herding in the other markets. (2) Financial crisis During the period, risk contagion between the SSE A-share market and the SSE A-share market is intensified. The risk accumulation in a market will trigger or exacerbate the herding effect of the other party’s market, confirming the existence of bilateral between the two stock markets during the financial crisis Overflow herd effect.