复杂网络理论下我国股市行业板块风险传染效应研究  

Study on the Risk Contagion Effect of Industry Sector in Chinese Stock Market Based on Complex Network Theory

作　　者：徐玉华[1] 赵玥 高新柠 谢承蓉 XU Yuhua;ZHAO Yue;GAO Xinning;XIE Chengrong(School of Finance,Nanjing Audit University,211815,Nanjing,PRC;School of Statistics and Mathematics,Nanjing Audit University,211815,Nanjing,PRC;Jiangsu Key Laboratory of Financial Engineering,Nanjing Audit University,211815,Nanjing,PRC)

机构地区：[1]南京审计大学金融学院,南京211815 [2]南京审计大学统计与数据科学学院,南京211815 [3]南京审计大学金融工程重点实验室,南京211815

出　　处：《江西科学》2022年第2期207-214,共8页Jiangxi Science

基　　金：江苏省高校自然科学基金重大项目(20KJA120002);江苏省研究生科研创新项目(KYCX21-1856);南京审计大学金融工程实验室招标课题(NSK2021-09)。

摘　　要：通过复杂网络理论建立我国股票一级行业指数收益率模型,研究我国股市各行业板块之间的风险传染机制,并运用最小树形图法(即有向的最小生成树)研究2008年金融危机、2015年股灾及2020疫情常态化3个阶段的我国股票市场风险传导路径。研究结果表明:扮演波动溢出净冲击角色的行业在金融市场中更易于行业间风险的相互传染,其不能很好地吸收金融风险,而是将金融风险传递给净接受行业,并且金融风险的传导存在其一致性,上下游行业之间的风险传导有一定的相关性。最后,基于研究结论给出了相关建议。Based on the complex network theory,this paper establishes the first-class Industry Index Return Rate Model of Chinese stock market,to study the risk contagion mechanism among various sectors in Chinese stock market,the risk transmission path of Chinese stock market in the three stages of financial crisis in 2008,stock market disaster in 2015 and normalization of epidemic situation in 2020 was studied by using the method of minimum directed spanning tree.The results show that the industry that plays the role of net impact of volatility spillover is more prone to inter-industry risk contagion in the financial market,and it can not absorb financial risk well,but transfer financial risk to the net receiving industry,and the conduction of financial risk has its consistency,the risk conduction between upstream and downstream industries has a certain relevance.Finally,some suggestions are given based on the research conclusion.

关 键 词：复杂网络 指数收益率 传染效应 

分 类 号：F015[经济管理—政治经济学]