• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文会议>The Fourth International Conference on Systems Science and Systems Engineering (ICSSSE'03); Nov 25-28, 2003; Hong Kong SAR, China >EXTREME RISK SPILLOVER BETWEEN CHINESE STOCK MARKETS AND INTERNATIONAL STOCK MARKETS
【24h】

EXTREME RISK SPILLOVER BETWEEN CHINESE STOCK MARKETS AND INTERNATIONAL STOCK MARKETS

机译：中国股票市场与国际股票市场之间的极端风险溢出

获取原文
获取原文并翻译 | 示例
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

Using a new financial econometric tool, we provide an empirical study on spillover of extreme downside market risk among Shares A, B and H in Chinese stock market, between different stock markets in Greater China, and between Chinese stock market and other international equity markets. It is found that there exists strong risk spillover between Share A markets and Share B markets, and the occurrence of a large downside risk in Share B markets can help predict the occurrence of a similar future risk in Share A markets. There also exists strong risk spillover between Share A markets and Share H market, and particularly between Share B markets and Share H market. Share B markets, and particularly Share H market, have significant risk spillover with Asian and international stock markets. In contrast, although Share A markets have some risk spillover with Korean and Singapore stock markets, they have no risk spillover with leading international mature equity markets―Japan, U.S. and Germany. Our findings suggest that the segmentation between Share A markets and Share B/H markets is effective in avoiding large adverse shocks from international equity markets on Share A markets, which are the main constituents of Chinese stock market.
机译：我们使用一种新的金融计量经济学工具，对中国股票市场中的A，B和H股之间，大中华区的不同股票市场之间以及中国股票市场与其他国际股票市场之间的极端下行市场风险的溢出进行了实证研究。发现在A股市场和B股市场之间存在强大的风险溢出，并且B股市场中较大的下行风险的发生可以帮助预测A股市场中类似的未来风险的发生。在A股市场和H股市场之间，尤其是在B股市场和H股市场之间，也存在强烈的风险溢出。 B股市场，尤其是H股市场，对亚洲和国际股票市场具有重大的风险溢出效应。相反，尽管A股市场在韩国和新加坡股市中有一定的风险溢出，但在领先的国际成熟股票市场（日本，美国和德国）却没有风险溢出。我们的研究结果表明，A股市场和B / H股市场之间的细分有效地避免了国际股票市场对A股市场的巨大不利冲击，而A股市场是中国股票市场的主要组成部分。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号