新三板视角下金融市场尾部风险溢出效应的实证检验  

Empirical Test of Financial Market Tail Risk Spillover Effect from the Perspective of NEEQ

作　　者：王昭媛 易文德 王沁[1] WANG Zhaoyuan;YI Wende;WANG Qin(School of Mathematics,Southwest Jiaotong University,Chengdu 611756,China;School of Mathematics and Big Data,Chongqing University of Arts and Sciences,Chongqing 402160,China)

机构地区：[1]西南交通大学数学学院,成都611756 [2]重庆文理学院数学与大数据学院,重庆402160

出　　处：《河南科学》2022年第2期173-178,共6页Henan Science

基　　金：国家社会科学基金项目(15XJY023)。

摘　　要：以主板、中小板、创业板与新三板数据为研究样本,基于多元分位数CAViaR(MV-CAViaR)模型,从新三板的视角研究新三板与主板、中小板、创业板之间的尾部风险溢出效应,并使用分位数脉冲响应函数分析新三板受到冲击后对不同市场尾部风险的动态影响过程.研究发现,新三板和主板、新三板和中小板、新三板和创业板之间整体呈双向溢出关系,溢出效应强度依次递增;当新三板面临极端风险冲击时,相对于主板、中小板的表现特征,创业板受冲击的影响最大,恢复速度最为缓慢.Taking the data of the Main Board,SME(Small and Medium Enterprise)Board,GEM(Growth Enterprise Market)and NEEQ(National Equities Exchange and Quotations)as research samples,and based on the multivariate quantile CAViaR(MV-CAVIAR)model,the tail risk spillover effect between NEEQ and the Main Board,SME Board and GEM is studied from the perspective of NEEQ.Quantile impulse response function is used to analyze the dynamic influence process of the impact of NEEQ on tail risks in different markets.The research finds that there is a two-way spillover relationship between NEEQ and the Main Board,NEEQ and SME Board,NEEQ and GME respectively,and their spillover effect intensities increase successively.When NEEQ facing the extreme risk shocks,GME is affected mostly by shocks and the recovery speed is the slowest,compared with the performance characteristics of the Main Board and SME Board.

关 键 词：新三板 尾部风险溢出 MV-CAViaR模型 

分 类 号：O212[理学—概率论与数理统计] F832.5[理学—数学]