基于调整相关系数模型,在小波分析框架下,研究美国次贷危机在全球股票市场中的传染。研究发现:传染可以被分为时间上总体趋势的传染和频率上细节变动的传染,且这两种传染可以被分解到不同尺度进行研究;使用极大重叠离散小波变换的调整相关系数方法比不使用小波的方法更精确;两种传染的共同作用使得全球股市之间的联系比危机发生前更加紧密:总体趋势的传染具有区域性特征,该特征支持了文中提出的2次传染的假设;波动幅度的传染比基本联系的传染持续的时间要短。欧盟区作为高度一体化组织,区域内波动没有相互传染,受到外部波动传染,很快在系统内分散消失,没有再对其他国家发生2次传染。全球资本流动是导致危机传染的重要渠道,金融危机传染与资金流向轨迹高度一致。 Based on the adjustment of the correlation coefficient model, this paper studies the contagion of the US subprime mortgage crisis in the global stock market under the framework of wavelet analysis. The study found that: Infection can be divided into the transmission of the general trend in time and the detail of the frequency of infection, and the two infections can be decomposed into different scales to study; the use of very overlapping discrete wavelet transform adjustment correlation coefficient method than The use of wavelet methods is more accurate; the combined effect of the two infections makes the global stock markets more closely linked than before the crisis: the contagion of the general trend has a regional character that supports the hypothesis of the 2-infectivity set forth in the paper; the volatility The magnitude of the infection is shorter than the duration of the underlying infection. As a highly integrated organization in the EU, the intra-regional fluctuations are not contagious and are subject to external contagion. They are quickly dispersed within the system and disappear without any further contagion from other countries. Global capital flow is an important channel leading to crisis contagion. The contagion of financial crisis is highly consistent with the flow of funds.