网络视阈下中国股市风险的行业传染研究  

Research on the Stock Market Risk Contagion among Industry Sectors under the Perspective of the Network

作　　者：贾凯威[1] 李伯华 吴津津 贺迎 Jia Kaiwei;Li Bohua;Wu Jinjin;He Ying(College of Business Administration,Liaoning Technical University,Huludao 125105,China)

机构地区：[1]辽宁工程技术大学工商管理学院,辽宁葫芦岛125105

出　　处：《数量经济研究》2022年第1期123-150,共28页The Journal of Quantitative Economics

基　　金：辽宁省教育厅2019年度重点攻关项目“区域物流网络结构的演化机理与路径研究”(LJ2019ZL006);辽宁省2019年度社科规划基金项目“多层网络视阈下辽宁省银行系统性风险传染路径仿真研究”(L19BJY027)的联合资助。

摘　　要：本文基于我国A股56个行业指数日收益率,利用GJR-GARCH-ADCC模型,得到各行业间的非对称动态相关系数,表征各行业间的动态金融传染。在此基础上,基于动态相关系数分别构建无向权重网络、有向权重网络及动态网络,提取网络特征并分析市场风险的行业传染与外溢特征,基于最小生成树揭示股票市场风险的行业传染路径。结果表明,我国股票市场风险存在显著的行业传染,基于行业传染的金融网络最小生成树具有幂律分布特征,半导体行业在股票市场风险传染中处于核心节点,56个行业存在显著的社团传染特征,且社团内传染比社团间传染更严重,而化工行业、通用机械行业、工业机械行业与纺织服饰行业充当着社团间传染与外溢的连接点;银行业、保险业等金融业具有显著的波动净吸收与缓释作用,是我国股票市场风险的净吸收器,对于稳定金融市场具有重要作用;进一步分析发现,我国股票市场的行业传染与外溢具有显著的时变性与持续性。以上研究为从行业视角强化股票市场监控,降低风险传染效应具有重要启示。Based on the GJR-GARCH-ADCC model,this paper obtains the asymmetric dynamic correlation coefficients among industry sectors,which represent the dynamic financial contagion and spillover.Based on the correlation coefficients,the undirected weight network,the directed weight network and the dynamic network are constructed.The network topologies are extracted and the contagion characteristics of the market risk are analyzed to reveal the industry contagion mechanism and path.The results show that the risk of China’s stock market has significant characteristics of industry contagion.The financial network based on industry contagion has the characteristics of power-law distribution and community contagion.The semiconductor industry is the core node in the risk contagion of stock market.There are significant community contagion characteristics among 56 industries,and intra community contagion is more serious than inter community contagion,with the machinery industry,industrial machinery industry and textile and clothing industry as the connection point;banking industry,insurance industry and other financial sectors are net absorbers of volatility,which play an important role in stabilizing the financial market;further analysis shows that the industrial contagion and spillover of China’s stock market are of significant time variation.The above research provides evidence for stock market monitoring and risk reducing from the perspective of the industry sector.

关 键 词：股市 风险传染 网络结构 GJR-GARCH-ADCC 

分 类 号：F830.9[经济管理—金融学]