CAJ | 학술논문

本文选用NADCC—EGARCH模型研究了“次贷危机”影响下全球主要股票市场的反应，并捕捉到欧亚五个股市同美国股市联动关系的变化过程。实证显示，由美国“次贷危机”引发的金融危机造成了全球股票市场不同程度的动荡．出现“熊市”迹象。美国同全球股市间的联动关系在危机扩散后存在结构性变化，且欧洲、日本等成熟市场与美国市场的联动关系受美国股市负面消息的影响较大。中国虽受到一定程度的冲击．但是国内股票市场结构相对稳定。
본문선용NADCC—EGARCH모형연구료“차대위궤”영향하전구주요고표시장적반응，병포착도구아오개고시동미국고시련동관계적변화과정。실증현시，유미국“차대위궤”인발적금융위궤조성료전구고표시장불동정도적동탕．출현“웅시”적상。미국동전구고시간적련동관계재위궤확산후존재결구성변화，차구주、일본등성숙시장여미국시장적련동관계수미국고시부면소식적영향교대。중국수수도일정정도적충격．단시국내고표시장결구상대은정。
This paper investigates how the international stock markets respond to the ＂Sub-prime mortgage crisis＂ by employing the NADCC-EGARCH model, and traces out the change of the dynamic interdependence between global and American stock markets. The empirical results indicate that the financial crisis triggered by the ＂Sub-prime mortgage crisis＂ had caused turmoil in the global markets and even signs of bear markets. Some structural changes can be found on the correlations between the American and global markets. The negative news of American markets has effect on the linkage between American and European/Japanese markets. Although China has also been impacted by the crisis, its market still keeps stable.