| 发达市场对新兴市场的金融传染性分析——基于国际危机视角 |
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| 引用本文：陈赤平,陈海波.发达市场对新兴市场的金融传染性分析——基于国际危机视角[J].湖南大学学报社会科学版,2018,(6):49-55 |
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| 中文摘要:运用DCC-GARCH模型对美国次贷危机和欧洲主权债务危机期间，发达股票市场对八个新兴股票市场（智利、中国、印度、印度尼西亚、墨西哥、中国台湾地区、泰国和南非）的金融传染效应进行了研究。结果表明：无论是美国次贷危机，还是欧洲主权债务危机期间，发达股票市场均对新兴经济体市场存在明显的传染效应，且这种传染性具有显著的持续性。此外，由于各新兴市场宏观经济基础和金融市场化程度的不同，危机期间发达股票市场对其传染效应也存在着差异性，发达股票市场对印度尼西亚和台湾的传染效应较弱，而对智利、南非和墨西哥的传染效应则较强。 |
| 中文关键词:新兴市场 波动溢出效应 金融传染性 DCC-GARCH模型 |
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| Financial Contagion from Developed Markets to Emerging Markets——Based on the Perspective of International Crises |
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| Abstract:This paper investigates the financial contagion effect of developed stock markets on eight emerging stock markets (Chile, China, India, Indonesia, Mexico, Taiwan, Thailand and South Africa) during the U.S. subprime mortgage crisis and European sovereign debt crisis by using DCC-GARCH model. The results show that there are significant sustainable contagion from developed stock markets to emerging stock markets during both international financial crisis and the European sovereign debt crisis. In addition, those contagion effects on emerging stock markets are significant dissimilarity with respect to the differences of macroeconomic fundamentals and degree of financial liberalization in the emerging Countries. It is much weaker in Indonesia and Taiwan markets, but obviously stronger in Chile, South Africa and Mexico. |
| keywords:emerging markets contagion effect volatility spillover effect DCC-GARCH model |
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