欧债危机冲击我国股票与债券市场的风险传染研究

摘要

欧债危机对金融市场产生了显著的冲击，引发了巨大的风险。本文通过构建二元GARCH-BEKK模型，实证检验了欧债危机背景下欧洲股票市场、我国股票市场、国债市场与企业债市场之间的波动溢出效应，揭示了欧债危机冲击我国股票市场、国债市场与企业债市场的风险传染路径。实证表明，欧债危机冲击我国股票市场与债券市场的风险传导路径为：欧债危机引发的风险通过欧洲股票市场传导到我国股票市场，然后传导到企业债市场，最后传导到国债市场。%The European debt crisis have had a significant impact on the financial markets, and triggered a huge risk. By constructing binary GARCH-BEKK model, this paper empirical tests volatility spillover effects between the European stock market, China's stock market, bond market and corporate bond market in the context of the European debt crisis, and reveals risk contagion path of the European debt crisis on China's stock market, bond market and corporate bond market. Empirical results shows that the risk contagion path of European debt crisis on China's stock market and bond market is that, the risk of European debt crisis through the European stock markets transfers to the China’s stock market, then transmits to the corporate bond market, , and finally transfers to the Treasury bond market.