股市相互依存、传染、金融次贷危机与欧洲主权债务危机——来自中国股市的证据

IF 0.7 Q4 BUSINESS, FINANCE
Selma Jayech, Lamia Jaidane Mazigh, E. Abdennadher
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引用次数: 0

摘要

本研究分析了2007-2010年美国和欧洲金融危机背景下,美国、英国和希腊股市对中国股市的传染效应。使用阿基米德copula函数进行了两次传染试验。第一次测试结果表明,2007年次贷危机期间,英国/中国之间存在金融传染,2010年欧洲主权债务危机期间,美国/中国与英国/中国之间也存在金融传染。最后,第二项测试表明,2010年欧洲主权债务危机的传染效应显然比2007年次贷危机仅对美国和中国造成的传染效应更为严重。投资者的情绪和行为间接影响中国股市金融风险的蔓延。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Stock Market Interdependence, Contagion, the Financial Subprime Crisis and the European Sovereign Debt Crisis: Evidence from the Chinese’s Stock Market
This study analyses the contagion effects of the American, the British and the Greek stock markets on the Chinese stock market in the context of the 2007–2010 American and European financial crises. Two contagion tests have been performed using the Archimedean copula functions. The results of the first test suggest that the financial contagion existed between UK/China in the 2007 subprime financial crisis period and between U.S./China and U.K./China in the 2010 European sovereign debt crisis period. Finally, the second test shows that the contagion effects of the 2010 European sovereign debt crisis were clearly more intense than those caused by the 2007 subprime financial crisis just for the U.S./China pair. Investors' sentiment and behavior indirectly have impact on financial risk contagion in Chinese stock markets.
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来源期刊
CiteScore
1.50
自引率
0.00%
发文量
12
审稿时长
20 weeks
期刊介绍: To provide a forum for the exchange of ideas and dissemination of empirical findings and analytical research in the specialized areas of accounting and finance with special emphasis on scholarly works with policy implications for countries in the Asia Pacific. The following are some of the topical subject areas relevant to the journal (but are not limited to): Accounting • Financial reporting and accounting standards • Auditing issues • Value based accounting and its relevance • Theory of accounting firm • Environmental auditing • Corporate governance issues • Public sector accounting Finance • Valuation of financial assets • International capital flows • Ownership and agency theory • Stock market behavior • Investment and portfolio management • Islamic banking and finance • Microstructures of financial markets
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