国际证券资金流动相关性网络特征与其影响因素——20世纪90年代以来的数据分析  

Characteristics of International Portfolio Correlation Network and its Influencing Factors——Data Analysis Since the 1990s

作　　者：杨海珍 李昌萌 李苏骁 Yang Haizhen;Li Changmeng;Li Suxiao(School of Economic and Management,University of Chinese Academy of Sciences;Urban Financial Institute,Industrial and Commercial Bank of China)

机构地区：[1]中国科学院大学经济与管理学院 [2]中国工商银行城市金融研究所

出　　处：《国际金融研究》2020年第10期44-54,共11页Studies of International Finance

基　　金：国家自然科学基金重点项目“大数据环境下金融风险传导与防范研究”(71532013);国家自然科学基金面上项目“新时期国际资本流动特征及我国跨境资本流动风险预警”(71273257)资助。

摘　　要：20世纪90年代以来,全球经济体间的关联性日益增强,国际证券投资逐渐成为金融联系的重要媒介。相较于直接投资,证券投资流动性强、波动性大,容易导致金融风险在不同区域间快速传染,进而引发全球性金融危机。鉴于此,本文深入探究了20世纪90年代以来国际证券资金流动的相关性网络特征,以及促使国家和地区间证券资金流动产生相关性的驱动因素。研究结果表明:以美国、中国香港、西班牙、德国等为主的发达国家和地区和以韩国、南非、印度为主的体量较大的新兴市场与其他经济体有显著的证券资金流动相关性。这些经济体均为系统重要性国家和地区,应对其证券资金大幅波动的风险给予重点关注。国家和地区间证券资金流动相关性增强的主要影响因素包括较高的贸易关联度、金融关联度,以及相似的经济基本面和经济政策。这一研究结论为我国监测跨境证券资金流动风险提供了借鉴。Since the 1990 s,the global economies have become increasingly interconnected and cross-border portfolio investments have gradually become an important medium of financial links between countries.Compared with direct investments,portfolio investments have stronger fluidity and volatility,which can easily lead to the rapid spread of financial risks and trigger global financial crisis.Based on the quarterly data of international portfolio flows from International Monetary Fund(IMF)BOP database,this article uses the complex network model and the fixed effects model to explore the characteristics of International Portfolio Correlation Network from 1990 Q1 to 2017 Q4 and analyze its influencing factors.The result indicates that developed economies such as the United States,Spain,Germany and Hong Kong,China as well as large-scale emerging market economies such as South Korea and South Africa have significant correlation with more countries in International Portfolio Correlation Network.These countries are all systemically important countries.Higher trade link and financial link between countries,as well as similar economic fundamentals and similar economic policies between countries,are the main influencing factors in this interrelation.Based on the research conclusions above,this research puts forward the following suggestions.Firstly,relevant international organizations,policy departments and investment institutions should pay attention to systemically important countries and establish a more complete monitoring and warning system for international portfolio flows.Secondly,for policy makers,it is necessary to pay more attention to the international portfolio flows from certain countries,such as countries having high trade and financial ties with our economy and countries being systemically important in the international portfolio correlation network.

关 键 词：证券资金流动 复杂网络 相关性 影响因素 

分 类 号：F831[经济管理—金融学]