CAJ | 학술논문

本文以雷曼破产日至2009年1月底这段时期内上证综指、恒生指教以及S＆P500指数的日内高频数据作为研究对象，采用跳跃显著性检验方法和扩展HAR模型，对波动跳跃特征进行了实证研究。结果表明：雷曼危机导致股市波动的显著提高，但中国内地股市受到的影响最小；中国香港股市成为波动跳跃发生频率最高、跳跃幅度最大的市场，且波动跳跃主要发生在夜间休市时间内；雷曼危机使得波动率模型的预测精度大大降低，股市风险变得更加难以预测，对于新兴市场来说这一现象更加明显。
본문이뢰만파산일지2009년1월저저단시기내상증종지、항생지교이급S＆P500지수적일내고빈수거작위연구대상，채용도약현저성검험방법화확전HAR모형，대파동도약특정진행료실증연구。결과표명：뢰만위궤도치고시파동적현저제고，단중국내지고시수도적영향최소；중국향항고시성위파동도약발생빈솔최고、도약폭도최대적시장，차파동도약주요발생재야간휴시시간내；뢰만위궤사득파동솔모형적예측정도대대강저，고시풍험변득경가난이예측，대우신흥시장래설저일현상경가명현。
In September 2008 huge waves set off in the United States engulfed the global financial markets. The financial tsunami began with the bankruptcy of the fourth-largest U. S. investment bank Lehman Brothers Holdings Inc. on September 15, 2008. In order to restore the normal operation of the U. S. financial system, the U. S. Government immediately decided to formulate the ＂Emergency Economic Stabilization Act of 2008＂. Unexpectedly, the House of Representatives rejected the bill on September 29, 2008. Although the U. S. Congress passed the amendment on October 3, the damage had been done and spread rapidly to the world stock markets causing the utmost panic. Paul Krugman describes the worldwide production, financial and consumer crunch following these events as ＂the beginning of a second Great Depression＂. The series of phenomena mark this round of financial crises as a further upgrade of the subprime mortgage crisis that began in 2007.