中国股票市场系统风险的特征与传递机制

123jMjjjRbaRe++=jRMRjajejeMRjb42222essbs+=Mjj2js22Mjsb2esq22222222jMjMMMjjMjMjrsssssrssbq=⋅⎥⎦⎤⎢⎣⎡==211jMrq-=-jMr562MtrjtMtjtjtjtRbaRe++=1--=jtjtjtLnPLnPR1--=ttMtLnILnIRjtPtIjtRMtRjte2jMtr2jMtr∑==JjjMtMtJ1221rr2Mtr7891011121314151617{}L,2,1,=txttxtx()∞=mtxEtx()jtxxCov,txjx()(){}∞=--=--ssttsttxxExxCovmmm),({}K,2,1,=tyttttyymr+=-11=r{}tm()0=tEm()∞=-ssttCovmmm,txtytxtyttbyax+'ddd'txty18),('dddCI-()()0),,(0,22∀∀---kXYYkYYktkttkttsstxtklltlttxbxxea+Δ+=Δ∑=--11txtxtXtY19tXtYtttsbYX+=tststXtYtstkjjtjjtjtXYYebq++=∑=--1)(tkjjtjjtjtYXXmal++=∑=--1)(tetmxH00=jbkjL21=yH00=jakjL21=→xH0yH0→yH0xH0↔xH0yH0⊥xH0yH020txtatbtctdtaΔtbΔtcΔtdΔ2RtatbtctdtaΔtbΔtcΔtdΔtatbtctdtaΔtbΔtcΔtdΔtatbtctdttba0116.1=2RDW21ts43211113.0075.0127.0349.0462.0-----Δ-Δ-Δ-Δ--=Δttttttssssss418.02=R952.1=DWtsttdc873.0=2RDW43211081.0057.0219.0379.0201.0-----Δ-Δ-Δ-Δ--=Δttttttssssss284.02=R056.2=DWtsttca093.1=2RDW3211130.0219.0471.0063.0----Δ-Δ-Δ--=Δtttttsssss237.02=R014.2=DWts22ttdb891.0=2RDW543211159.0229.0328.0231.0547.0084.0------Δ-Δ-Δ-Δ-Δ--=Δtttttttsssssss349.02=R074.2=DWts23tbtatatbtatbta→tbtdtctctdtctdtd→tctctatatctatcta↔tctdtbtbtdtbtdtb↔td2425