贸易摩擦背景下中美两国股票市场风险溢出效应研究  

Research on the Risk Spillover Effects of Stock Market in China and the United States from the Perspective of Trade Friction

作　　者：路越[1] LU Yue(Regional Economic Development Research Center,Liaoning University of International Business and Economics,Dalian,Liaoning 116052)

机构地区：[1]辽宁对外经贸学院区域经济合作与发展研究院,辽宁大连116052

出　　处：《上海立信会计金融学院学报》2020年第4期48-59,共12页Journal of Shanghai Lixin University of Accounting and Finance

基　　金：辽宁对外经贸学院校级科研课题“基于波动特征与Copula的金融市场风险传染研究”(2019XJLXQN003)。

摘　　要：在中美贸易摩擦持续发酵的背景下,以股票市场间的风险传染为出发点,运用广义CoVar模型探究了贸易摩擦前后中美两国股票市场的极值风险与风险溢出情况。实证结果发现:中美两国股市存在非对称动态风险溢出效应,美股对A股的风险溢出程度高于A股对美股的风险溢出,但摩擦发生后,溢出程度有所减弱,甚至出现了反向溢出现象;两国股市各自的下行风险受负面消息的刺激显著增加,从条件在险价值看,相比于A股,美股对负面消息更加敏感,受到的冲击更大。与两国股指走势的直观结果不同,在剥离冗余信息后,中方的反制效果在资讯敏感的股票市场得到了有力印证。这说明,贸易摩擦是一场双输的博弈,互利共赢才是有利于两国乃至全球经济的最佳选择。In the context of the continuous fermentation of Sino-US trade tension,this paper takes the risk contagion from the stock markets as the starting point for research,the generalized CoVar model is used to explore the extreme risks and risk spillovers of the Sino-US stock markets before and after the trade tension.The empirical results show that there is an asymmetric dynamic risk spillover effect in the Chinese and American stock markets.After the trade tension occurred,the degree of risk spillover of the stock markets of the two countries has been weakened,and sometimes reverse spillovers have occurred;the downside risks of the respective stock markets of the two countries have been significantly increased by negative news.From the perspective of conditional value at risk,compared to A-shares,US stocks are more sensitive to negative news and suffer more damage.Different from the intuitive results of the stock index trends of the two countries,after stripping off redundant information,China’s countermeasures have been strongly confirmed in the information-sensitive stock market.The result shows that trade tension is a lose-lose gambling,and mutual benefit and win-win is the best choice that benefits the two countries and the global economy.

关 键 词：贸易摩擦 股票市场 风险传染 时变COPULA 广义CoVaR 

分 类 号：F753[经济管理—国际贸易] F831.5[经济管理—产业经济]