Econometric Analyses of the Spillover Effects between China and U.S Stock Markets in Subprime Lending Crisis

摘要：

　　This paper studies the dependence of China and U.S financial markets when subprime lending crisis occurs, on the basis of nonlinear model.We use the EDCC-GARCH model to test the spillover effects, which allows contemporaneous dependence through conditional correlations, and the interaction in the form of both lagged squared observations and lagged conditional variances from the other equations of the system.Empirical analysis shows EDCC model is better than the traditional DCC model with simulation China and U.S finance markets correlation.This paper also supplies some theoretic supports to portfolio and risk management in the stage of financial crisis.

关键词： stock market spillover effect EDCC-GARCH model

作者: Fu Yiting Wang Xiongwei Liu Jinquan

作者单位: Management School, Changchun Institute of Technology Quantitative Research Centre of Economics, Jilin University

会议类型: 国际会议

会议名称: The 4th Conference on Chinas Economic Operation Risk Management(2010·Shanghai)(第四届中国立信风险管理论坛)

会议地点: 上海

会议语种:英文

页码: 46-50

在线出版日期: 2010-10-14（万方平台首次上网日期，不代表论文的发表时间）