国际金融研究
國際金融研究
국제금융연구
Studies of International Finance
2015年
3期
64~75
,共null页
金砖国家 系统重要性 危机传染
金磚國傢 繫統重要性 危機傳染
금전국가 계통중요성 위궤전염
BRICS; Systemic Importance ; Distress Contagion
本文提出并运用“SA-FCoVaR”分析．在全球经济环境处于危机期和稳定期两种情景下。从系统性危机传染强度的视角，比较了“金砖五国”股票市场的系统重要性。结果发现：（1）在危机期，金砖成员国市场的系统重要性无显著差异．但在稳定期，中国股市具有最高的系统重要性，即中国股市在稳定期对外围市场组合的风险影响最大；（2）上述结果不会因外围市场组合是金砖市场组合还是成熟市场组合而改变。因此．可以认为中国股市在稳定期具有最高的系统重要性．
本文提齣併運用“SA-FCoVaR”分析．在全毬經濟環境處于危機期和穩定期兩種情景下。從繫統性危機傳染彊度的視角，比較瞭“金磚五國”股票市場的繫統重要性。結果髮現：（1）在危機期，金磚成員國市場的繫統重要性無顯著差異．但在穩定期，中國股市具有最高的繫統重要性，即中國股市在穩定期對外圍市場組閤的風險影響最大；（2）上述結果不會因外圍市場組閤是金磚市場組閤還是成熟市場組閤而改變。因此．可以認為中國股市在穩定期具有最高的繫統重要性．
본문제출병운용“SA-FCoVaR”분석．재전구경제배경처우위궤기화은정기량충정경하。종계통성위궤전염강도적시각，비교료“금전오국”고표시장적계통중요성。결과발현：（1）재위궤기，금전성원국시장적계통중요성무현저차이．단재은정기，중국고시구유최고적계통중요성，즉중국고시재은정기대외위시장조합적풍험영향최대；（2）상술결과불회인외위시장조합시금전시장조합환시성숙시장조합이개변。인차．가이인위중국고시재은정기구유최고적계통중요성．
A framework called SA-FCoVaR is developed to investigate the systemic importance of BRICS＇s stock mar- kets from the prospect of distress contagion strength. Against the background of distress and steadiness of global stock mar- kets, the following results are presented： （1） during the distress period, the systemic importance among the markets of BRICS are not significantly different; however, during the steady period, China＇s stock market is the most systemically important, which implies that China＇s stock market produces the most impact on the portfolios of other markets; （2） the above results are robust no matter the portfolio consists of other BRICS markets or developed markets. The results imply that China＇s stock market is the most systemically important one during the steady period.
