CAJ | 학술논문

本文利用Diks和Panchenko（2006）改进的非线性Granger因果检验方法研究了次贷危机和欧债危机期间全球主要股市间的联动性，并基于此探讨了两次危机期间中国股市在全球股市风险传染网络中的角色定位问题。研究结果表明：（1）次贷危机期间，中国股市作为风险接收者，起着风险承担的作用。欧债危机期间，中国股市风险承担作用明显减弱，并存在一定程度的风险溢出。在两次危机的全球股市风险传染网络中，美国股市始终居于主导地位。（2）对比两次金融危机，次贷危机期间全球主要股市间风险传染程度更高。滚动窗口法进一步验证了本文结论的稳健性。
본문이용Diks화Panchenko（2006）개진적비선성Granger인과검험방법연구료차대위궤화구채위궤기간전구주요고시간적련동성，병기우차탐토료량차위궤기간중국고시재전구고시풍험전염망락중적각색정위문제。연구결과표명：（1）차대위궤기간，중국고시작위풍험접수자，기착풍험승담적작용。구채위궤기간，중국고시풍험승담작용명현감약，병존재일정정도적풍험일출。재량차위궤적전구고시풍험전염망락중，미국고시시종거우주도지위。（2）대비량차금융위궤，차대위궤기간전구주요고시간풍험전염정도경고。곤동창구법진일보험증료본문결론적은건성。
This paper studies the co-movement of global major stock markets by Nonlinear Granger causality test method which was improved by Diks and Panchenko （2006） in the subprime mortgage crisis and the European debt crisis, and ex- plores the problem of role of China＇s stock market in the global risk contagion network of the two financial crises based on this. The results show that：（ 1 ） During the subprime mortgage crisis, China＇s stock market was always the recipient of the risk, and played the role of risk-taking. During the European debt crisis, the role of risk-taking decreased significantly in China＇s stock market and had risk overflow in some extent. In the global major stock markets＇ risk contagion net~,ork of the two finan- cial crises, the U. S. stock market is the only leader of global major stock markets. （2） By contrasting two financial crises, there was higher degree of risk contagion in the subprime mortgage crisis than the European debt crisis between the world＇s ma- jor stock markets. Rolling windows test could verify the robustness of the conclusion of this paper.