基于Copula-ASV-EVT-CoVaR模型的中小板与创业板风险溢出度量研究  

Study on the risk spillover effect between the small and medium-sized board market and the second board market in China based on Copula-ASV-EVT-CoVaR model

作　　者：周孝华[1] 陈九生[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400044

出　　处：《系统工程理论与实践》2016年第3期559-568,共10页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71373296;71232004)~~

摘　　要：本文以条件在险价值(CoVaR)法为基础,结合Copula-ASV-EVT模型分析了我国中小板与创业板市场之间的风险溢出效应.结果表明,中小板与创业板市场之间存在双向风险溢出效应,且中小板市场对创业板市场的风险溢出效应强于创业板市场对中小板市场的风险溢出效应.此外,文章还分析了波动冲击对中小板与创业板的影响.最后,本文为风险监管以及投资者在中小板与创业板之间进行资产配置提供了建议.This paper analyzes the risk spillover effect between the small and medium-sized board market and the second board market in China based on CoVaR method combined with Copula-ASV-EVT model. The results show that there are bidirectional risk spillover effect between the small and medium-sized board market and the growth enterprise market in China, the degree of risk spillover effect from the small and medium-sized board market to the growth enterprise market is stronger than that of from the second board market to the small and medium-sized board market. In addition, this paper also analyzes the influence of volatility impulse on the small and medium-sized board market and the second board market in China. Finally, the paper provides some suggestions for investors and supervisory authorities.

关 键 词：COPULA函数 ASV-EVT模型 CoVaR 中小板 创业板 风险溢出 

分 类 号：F830[经济管理—金融学]