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中文摘要：
随着美国股市大幅波动,全球金融市场剧烈动荡,美国次贷危机已转化成全球性金融危机。本文主要采用向量误差修正模型（VECM）、基于有向无环图（DAG）结果的VAR结构化、脉冲响应函数及方差分解等方法,对危机前和危机期间六个主要国家（地区）的股市进行联动性实证分析,发现危机期间股市联动性加强,美国股指对其他股指的影响增大;英美之间因实体经济竞争产生的联动在危机期间被全球风险导致的共同震荡所取代;危机期间日元套利资本在美日之间的大规模流动加剧了美股波动,同时一定程度上减弱了日股波动;危机期间日经指数取代恒生指数而成为美股向亚洲市场的直接价格传导者;上证指数与世界股指的联动在危机期间显著增强,但仍然是六股指中最独立的。本文的量化结果有助于预测危机期间各国股票市场的联动性波动。
英文摘要：
As the American subprime debt crisis has turned into worldwide financial tsunami, the financial markets all over the world have been suffering serious turmoil. This paper aims to quantitatively analyze the co-movement changes of the six important stock markets in the world using the vector error correction model, model structuring, DAG causal test, impulse response functions and forecast variance decomposition. Some significant conclusions are found. The co-movement of the stock markets is strengthened by the financial tsunami, so is the influence of the American stock market. The competitive co-movement between DJI and FTSE is overwhelmed by the comment vibration during the crisis time. The large flow of Japanese hot cashes is aggravating the fluctuation in the American stock market and alleviating the Japanese stock market fluctuation during the financial tsunami. Taking the place of HSI, N255 becomes the direct fluctuation transmitter from the American market to the Asian markets during the crisis. The co-movement between SEE and the other stock market indexes is significantly enhanced in the crisis period, but it is still the most independent index among the six stock market indexes. These conclusions and the quantitative result in this paper can help predict the co-movement of the stock markets in the continuing crisis period.
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Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially
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