Abstract: This paper studies the co-movement of global major stock markets by Nonlinear Granger causality test method which improved by Diks and Panchenko (2006) in the subprime mortgage crisis and the European debt crisis, and explores the problem of role of China’s stock market in the global risk contagion network of the two financial crises based on this. The results show that: (1) during the subprime mortgage crisis, China’s stock market was always the recipient of the risk, and played the role of risk-taking. During the European debt crisis, the role of risk-taking decreased significantly in China’s stock market and had risk overflow in some extent. In the global major stock markets’ risk contagion network of the two financial crises, the U.S. stock market is the only leader of global major stock markets. (2) By contrast two financial crises, the higher degree of risk contagion in the subprime mortgage crisis than the European debt crisis between the world's major stock markets. Rolling windows test could verify the robustness of the conclusion of this paper.

摘要： 本文利用Diks和Panchenko（2006）改进的非线性Granger因果检验方法研究了次贷危机和欧债危机期间全球主要股市间的联动性，并基于此探讨了两次危机期间中国股市在全球股市风险传染网络中的角色定位问题。研究结果表明：（1）次贷危机期间，中国股市作为风险接收者，起着风险承担的作用。欧债危机期间，中国股市风险承担作用明显减弱，并存在一定程度的风险溢出。在两次危机的全球股市风险传染网络中，美国股市始终居于主导地位。（2）对比两次金融危机，次贷危机期间全球主要股市间风险传染程度更高。滚动窗口法进一步验证了本文结论的稳健性。