CAJ | 학술논문

考虑风险传染实际影响建立传染方程,结合均值和波动溢出构建了时变风险传染模型,并利用MCMC方法进行参数估计,理论上优于原有传染模型。利用沪铜、沪铝和伦铜三月连续数据,以及整体传染和时变风险传染模型进行实证,得出结论：在整体趋势与下降趋势中,沪铜场内外风险传染仅存在量的差异;在整体趋势与上升趋势中,沪铜对沪铝及伦铜的风险传染存在质的差异,该结论充分证实了分趋势进行风险传染研究的必要性。通过进一步的比较研究,发现沪铜场内外风险传染存在的三个突变期,即危机爆发后下降趋势形成期、下降趋势逆转期、两市场价格变动速度交替期,以上三个时期值得相关投资者与监管部门重点关注。
고필풍험전염실제영향건립전염방정,결합균치화파동일출구건료시변풍험전염모형,병이용MCMC방법진행삼수고계,이론상우우원유전염모형。이용호동、호려화륜동삼월련속수거,이급정체전염화시변풍험전염모형진행실증,득출결론：재정체추세여하강추세중,호동장내외풍험전염부존재량적차이;재정체추세여상승추세중,호동대호려급륜동적풍험전염존재질적차이,해결론충분증실료분추세진행풍험전염연구적필요성。통과진일보적비교연구,발현호동장내외풍험전염존재적삼개돌변기,즉위궤폭발후하강추세형성기、하강추세역전기、량시장개격변동속도교체기,이상삼개시기치득상관투자자여감관부문중점관주。
The study is about risk contagion in different financial markets and has the potential of optimizing measurement and modeling financial price sequence and its volatility. The international financial markets have bigger and higher frequency of risks. We could effectively prevent and reduce the loss for contagion risks by researching contagion laws and identifying financial contagion risk factors. Therefore, this study about the financial contagion risk will have theoretical values and practical implications. In the first part, we study theoretical models about financial contagion and propose a new financial contagion model. Based on the existing researches and financial contagion practices, we propose a time-varying contagion model to compute the contagion risk in different financial markets, i. e. Contagion-MGARCH model, by combining mean spillover, volatility spillover and contagion equations. This new model could validly describe some features such as time-varying features, dynamic features and so on. Furthermore, MCMC estimation of parameters used in this new contagion model is also covered in this paper. Therefore, our proposed model is theoretically better than other contagion models. In the second part, we conduct some empirical studies using our new and old financial contagion models. Firstly, we use the whole contagion and time-varying contagion models to compute two kinds of risk contagion, and find that they are quantitatively different during the decreased trends, but materially different during the increased trend, which could reflect the necessity of conducting an empirical study of risk contagion in different trends. By computing and comparing the contagion diversity, we obtain three important periods about the risk contagion in the futures markets, including the formatted period of downward trend after some crisis, the reversed period after downward trend and the price speed＇s changed period in two markets. Of course, investors and regulators in these financial markets should put more attention to these special times. In summary, for the financial markets being gradually improved, developed, opened and gathered in China our financial markets will meet more and bigger contagion risks from different financial markets, including domestic markets and foreign markets. The interrelated partners, such as market investors, market speculators and market regulators, will face more complex and bigger volatile financial market system in comparison with the past environment. As a researcher or student in financial related fields, we should dedicate to studying and analyzing the financial contagion risk. For these reasons, we carefully study and analyze original contagion risk models like the Granger-GARCH contagion model, and propose a new contagion risk model by combining time-varying feature and dynamic feature in the really financial markets （e. g. Contagion-MGARCH model）. We further use data from futures markets including SHFE-CU, SHFE-AL and SHFE-ZN, and study the reality risk contagion phenomena in different metallurgical futures markets, and compare the differences of risk contagion of SHFE-CU from different metallurgical futures markets during three trends. According to these empirical resuhs, we could further affirm the feasibility and effectiveness of the new financial contagion model. We believe that the new financial contagion model and the results from the empirical study could be useful for the management of our financial market, even for investment and market regulations when domestic and foreign financial markets have been queasy and downfall.