欧美与国内股市流动性风险间的相互关系及风险溢出效应研究——流行病爆发背景下的分析  

Study on the Interrelationship and Risk Spillover Effects of Liquidity Risks in European,American and Domestic Stock Markets:Against the Background of Epidemic Outbreaks

作　　者：叶五一[1] 赵晋海 缪柏其[1] YE Wu-yi;ZHAO Jin-hai;MIAO Bai-qi(Department of Statistics and Finance,School of Management,University of Science and Technology of China,Hefei 230026,China)

机构地区：[1]中国科学技术大学管理学院统计与金融系,安徽合肥230026

出　　处：《数理统计与管理》2021年第2期292-309,共18页Journal of Applied Statistics and Management

基　　金：国家自然科学基金面上项目(71671171).

摘　　要：近期COVID-19疫情在全球范围的爆发导致多国股市剧烈震荡,各国股市流动性风险剧增.本文从流动性风险的角度,基于VAR模型、MV-CAViaR模型对21世纪以来三次流行病持续期间,欧美及国内A股市场间的相关关系以及风险溢出效应作了研究分析.针对甲型H1N1流感研究了正常时期与流行病持续期就三大市场间相关关系的变化,并分段研究了COVID-19疫情在海外爆发前后市场间动态相关关系.实证结果表明,流行病的爆发使得三大市场间的相互影响更为密切.欧美市场在流动性风险传染、溢出效应中占据主要地位,国内A股市场受外围股市影响较大.受益于国内防控力度,COVID-19期间,A股市场受欧美股市影响较为有限,流动性风险溢出效应并不显著.结合疫情的发展,为政策制定者、投资者等给出了相应的建议.The recent outbreak of COVID-19 in the world has led to severe shocks in the stock market of many countries,and the liquidity risk of the stock market of various countries has increased dramatically.From the perspective of liquidity risk,based on VAR model and MV-CAViaR model,this paper analyses the correlation between European,American and domestic A-share markets and the risk spillover effect during the three epidemic durations since the 21st century.This paper studies the changes of the correlation between the three markets during the normal period and the epidemic duration,and studies the dynamic correlation between the market before and after the outbreak of COVID-19 in overseas markets.The empirical results show that the outbreak of the epidemic makes the interaction among the three markets closer.European and American markets play a major role in liquidity risk contagion and spillover effects,while domestic A-share market is greatly affected by peripheral stock markets.During the period of COVID-19, the impact of European and American stock markets on A-share market was limited, and the liquidity risk spillover effect was not significant. Combiningg with the development of the epidemic situation, some suggestions are given for policy makers and investors.

关 键 词：股市流动性 流行病爆发 VAR 风险传染 MV-CAViaR 风险溢出 

分 类 号：O212[理学—概率论与数理统计]