股市系统性风险跨区域溢出分析——来自DCC-GJR-Copula-CoVaR模型的经验证据  

Analysis of Cross-Regional Spillover of Stock Market Systemic Risk--Evidence from the DCC-GJR-Copula-CoVaR Model

作　　者：彭选华[1] PENG Xuan-hua(Economics School,Southwest University of Political Science and Law,Chongqing 401120,China)

机构地区：[1]西南政法大学经济学院,重庆401120

出　　处：《西南大学学报（自然科学版）》2021年第3期132-138,共7页Journal of Southwest University(Natural Science Edition)

基　　金：重庆市社会科学规划项目(2017YBGL151);重庆市自然科学基金项目(cstc2019jcyj-msxm2712).

摘　　要：考虑到股市系统性风险跨区域溢出问题,构建了多元的DCC-GJR-Copula-CoVaR(Dynamic Conditional Corelational,DCC;Glosten Jagannathan Runkle,GJR;Copula;Conditional Value at risk,CoVaR)模型,利用两步极大似然法估计模型参数,将31个省(直辖市、自治区)注册上市公司的股价省级综合指数,按照国家行政区域合并为10大区域市场股价综合指数.研究结果表明:该模型能度量股市系统性风险跨区域溢出的非对称性,而不同区域的风险贡献度差异较大,风险溢出具有地区差异.这为识别区域系统的重要性及防控股市系统性风险跨区域溢出具有重要的实践价值.In order to make it easier to identify the systemic importance of regional markets and prevent cross-regional spillovers of systemic risks,a multivariate DCC-GJR-Copula-CoVaR model is constructedin this paper to consider the cross-regional spillover problem of stock market systemic risk.The IFM two-step maximum likelihood methodis usd toestimate the model parameters.Then,the provincial composite indexes of stock prices of registered listed companies in 31 provinces and municipalitiesof China are merged into the top ten regional market composite index according to the demarcation of national administrative zones.The results show that this model can measure the asymmetry of cross-regional spillovers of systemic risk,the risk contribution of different regions is different,and the spillovers have regional differences.

关 键 词：DCC GJR COPULA ΔCoVaR 系统性风险 

分 类 号：F830.91[经济管理—金融学]