Journal of Northeastern University(Natural Science) ›› 2024, Vol. 45 ›› Issue (3): 449-456.DOI: 10.12068/j.issn.1005-3026.2024.03.018
• Management Science • Previous Articles
Shu-xi TIAN(), Xiu-yu DING, Jian WANG
Received:
2022-10-21
Online:
2024-03-15
Published:
2024-05-17
Contact:
Shu-xi TIAN
About author:
TIAN Shu-xi, E-mail: sxtian@ mail.neu.edu.cnCLC Number:
Shu-xi TIAN, Xiu-yu DING, Jian WANG. Spatial Spillover Effect of Positive Feedback Trading in Stock Markets: Based on Econometric Test Under the Shock of COVID-19 Pandemic[J]. Journal of Northeastern University(Natural Science), 2024, 45(3): 449-456.
股票指数 | CSI300 | Nikkei225 | KOSPI200 | Sensex30 | RTS50 | ISE100 | SP500 | SPTSX60 |
---|---|---|---|---|---|---|---|---|
疫情前 | 306.4 | 1129.03 | 191.1 | 123.11 | 38.7 | 2035.65 | 2730.86 | 84.14 |
疫情期 | 492.81 | 3116.97 | 606.65 | 241.52 | 114.46 | 7862.71 | 9932.62 | 451.42 |
股票指数 | IPC34 | Bovespa74 | CAC40 | DAX30 | FTSE100 | IBEX35 | TOP40 | ASX20 |
疫情前 | 13029 | 678.99 | 238.89 | 179.46 | 545.93 | 268.53 | 3289.87 | 367.63 |
疫情期 | 12858.23 | 1632.71 | 627.04 | 446.83 | 846.18 | 848.58 | 6615.76 | 678.45 |
Table 1 Standard deviation of representative stock indices in relevant countries
股票指数 | CSI300 | Nikkei225 | KOSPI200 | Sensex30 | RTS50 | ISE100 | SP500 | SPTSX60 |
---|---|---|---|---|---|---|---|---|
疫情前 | 306.4 | 1129.03 | 191.1 | 123.11 | 38.7 | 2035.65 | 2730.86 | 84.14 |
疫情期 | 492.81 | 3116.97 | 606.65 | 241.52 | 114.46 | 7862.71 | 9932.62 | 451.42 |
股票指数 | IPC34 | Bovespa74 | CAC40 | DAX30 | FTSE100 | IBEX35 | TOP40 | ASX20 |
疫情前 | 13029 | 678.99 | 238.89 | 179.46 | 545.93 | 268.53 | 3289.87 | 367.63 |
疫情期 | 12858.23 | 1632.71 | 627.04 | 446.83 | 846.18 | 848.58 | 6615.76 | 678.45 |
股票指数 | CSI300 | Nikkei225 | KOSPI200 | Sensex30 | RTS50 | ISE100 | SP500 | SPTSX60 |
---|---|---|---|---|---|---|---|---|
疫情前 | -0.7431 | -0.1977 | 0.3218 | 0.7642 | 0.3188 | -0.7128 | 0.0073 | 0.4178 |
疫情期 | -0.3262 | -0.7278 | -0.3347 | 0.1374 | -0.2086 | -0.2871 | -0.4012 | -0.3433 |
股票指数 | IPC34 | Bovespa74 | CAC40 | DAX30 | FTSE100 | IBEX35 | TOP40 | ASX20 |
疫情前 | 0.2154 | -0.5535 | -0.5655 | 0.0437 | 0.3216 | 0.0232 | 0.2423 | 0.3529 |
疫情期 | -0.7497 | -0.5139 | -0.3337 | -0.3294 | -0.6467 | -0.2980 | -0.2662 | -0.6581 |
Table 2 Skewness of representative stock indices in relevant countries
股票指数 | CSI300 | Nikkei225 | KOSPI200 | Sensex30 | RTS50 | ISE100 | SP500 | SPTSX60 |
---|---|---|---|---|---|---|---|---|
疫情前 | -0.7431 | -0.1977 | 0.3218 | 0.7642 | 0.3188 | -0.7128 | 0.0073 | 0.4178 |
疫情期 | -0.3262 | -0.7278 | -0.3347 | 0.1374 | -0.2086 | -0.2871 | -0.4012 | -0.3433 |
股票指数 | IPC34 | Bovespa74 | CAC40 | DAX30 | FTSE100 | IBEX35 | TOP40 | ASX20 |
疫情前 | 0.2154 | -0.5535 | -0.5655 | 0.0437 | 0.3216 | 0.0232 | 0.2423 | 0.3529 |
疫情期 | -0.7497 | -0.5139 | -0.3337 | -0.3294 | -0.6467 | -0.2980 | -0.2662 | -0.6581 |
时间 | |||
---|---|---|---|
疫情前 | 0.067 1(0.238 9) | -0.128 9(0.056 6***) | -0.082 3(0.164 2) |
疫情后 | 0.217 6(0.033 5***) | -0.293 5(0.074 1***) | -0.179 6(0.075 8**) |
Table 3 Econometric test of positive feedback trading according to spatial geographical correlation
时间 | |||
---|---|---|---|
疫情前 | 0.067 1(0.238 9) | -0.128 9(0.056 6***) | -0.082 3(0.164 2) |
疫情后 | 0.217 6(0.033 5***) | -0.293 5(0.074 1***) | -0.179 6(0.075 8**) |
时间 | ||||||
---|---|---|---|---|---|---|
疫情前 | 0.009 1 (0.284 3) | 0.005 2 (0.448 8) | -0.100 9 (0.028 7***) | -0.073 3 (0.022 4***) | -0.131 6 (0.037 7***) | -0.051 2 (0.023 2**) |
疫情后 | -0.112 7 (0.053 0*) | -0.083 5 (0.134 9) | -0.184 5 (0.075 0**) | -0.323 1 (0.009 8***) | -0.250 8 (0.004 5***) | -0.130 5 (0.003 6***) |
Table 4 Econometric test of positive feedback trading according to spatial economic correlation
时间 | ||||||
---|---|---|---|---|---|---|
疫情前 | 0.009 1 (0.284 3) | 0.005 2 (0.448 8) | -0.100 9 (0.028 7***) | -0.073 3 (0.022 4***) | -0.131 6 (0.037 7***) | -0.051 2 (0.023 2**) |
疫情后 | -0.112 7 (0.053 0*) | -0.083 5 (0.134 9) | -0.184 5 (0.075 0**) | -0.323 1 (0.009 8***) | -0.250 8 (0.004 5***) | -0.130 5 (0.003 6***) |
时期 | ||||||
---|---|---|---|---|---|---|
“量化宽松”时期 | 0.032 2 (0.192 5) | 0.007 4 (0.120 3) | -0.150 8 (0.042 5***) | -0.126 8 (0.031 2***) | -0.154 1 (0.067 8**) | -0.271 6 (0.033 2***) |
“加息缩表”时期 | -0.026 3 (0.098 6) | 0.030 9 (0.057 3) | -0.260 3 (0.036 9***) | -0.244 9 (0.007 7***) | -0.102 3 (0.003 6***) | -0.096 4 (0.040 1**) |
Table 5 Robust test of spatial spillover effect of positive feedback trading
时期 | ||||||
---|---|---|---|---|---|---|
“量化宽松”时期 | 0.032 2 (0.192 5) | 0.007 4 (0.120 3) | -0.150 8 (0.042 5***) | -0.126 8 (0.031 2***) | -0.154 1 (0.067 8**) | -0.271 6 (0.033 2***) |
“加息缩表”时期 | -0.026 3 (0.098 6) | 0.030 9 (0.057 3) | -0.260 3 (0.036 9***) | -0.244 9 (0.007 7***) | -0.102 3 (0.003 6***) | -0.096 4 (0.040 1**) |
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