中国股票市场行业间金融传染检验和风险防范  

Industry-level financial contagion of the Chinese stock market and risk control

作　　者：黄乃静 张冰洁 郭冬梅[1] 汪寿阳 HUANG Nai-jing;ZHANG Bing-jie;GUO Dong-mei;WANG Shou-yang(School of Economics, Central University of Finance and Economics, Beijing 100081, China;School of Economics and Management, Beihang University, Beijing 100191, China;School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190, China;Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China)

机构地区：[1]中央财经大学经济学院,北京100081 [2]北京航空航天大学经济管理学院,北京100191 [3]中国科学院大学经济管理学院,北京100190 [4]中国科学院数学与系统科学研究院,北京100190

出　　处：《管理科学学报》2017年第12期19-28,86,共11页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71301173);国家社会科学基金资助重大项目(11&ZD048)

摘　　要：运用一个新的金融传染检验统计量对2015年6月中旬中国股市暴跌时各行业间的传染效应进行检验.跟传统的金融传染检验统计量相比,他可从不同的分位数水平上检验金融传染;跟已有的分位数回归检验方法相比,他对于可能存在的模型误设是稳健的.本文首次检验了国内全部十个一级行业以及四个金融二级子行业之间的金融传染情况,并从市场风险的角度对不同行业间的传染关系和传染的可能途径进行了分析.新的金融传染检验统计量检验结果表明:在此次暴跌中大部分行业间存在金融传染,尤其是在低分位数下,而传统的检验方法忽略了这种传染效应的存在,这对市场风险的提示有着重大意义.This paper uses a new financial contagion test statistic to examine the existence of contagion effects across different industries in the Chinese stock market collapse in June 2015. Compared with the correlationbased tests, it allows us to investigate the stock market contagion at various quantiles; and compared with the standard quantile regression test statistic, it has the advantage of being robust to the model misspecification. In this paper, the contagion effects are first examined over ten primary industries and four sub-industries of the financial sector, and then the possible transmission mechanisms are analyzed across different industries. Empiri cal results show that the new financial contagion test detects the contagion effects at lower quantiles across different industries, which is sometimes ignored by the correlation-based test and is of importance for the systemic risk control.

关 键 词：分位数回归 金融传染 市场风险 VALUE-AT-RISK 

分 类 号：F832.5[经济管理—金融学] F832.59