中国A股市场金融板块间风险相依关系及动态演化研究  

Research on the Risk Dependence and Dynamic Evolution among A Share Financial Sectors in China

作　　者：吴献博 惠晓峰[1] WU Xian-bo;HUI Xiao-feng(School of Management,Harbin Institute of Technology,Harbin 150001,China)

机构地区：[1]哈尔滨工业大学经济与管理学院,黑龙江哈尔滨150001

出　　处：《中国管理科学》2022年第5期54-64,共11页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(71532004,71773024)。

摘　　要：将中国金融板块细分为国有大型银行、全国性股份制银行、城商行、证券、保险和信托等6个金融子板块,并以2015年中国股市异动和2019年新冠肺炎疫情为研究背景,分析在两个场景下的不同时期内,6个金融板块间的风险相依关系及其动态演化。通过计算各板块间波动指数的互信息,构建金融板块风险相依关系网络,并使用最大生成树刻画该相依关系的核心结构。研究发现,在市场处于相对平静时期,银行类金融板块与非银行类金融板块二者彼此之间的风险关联较弱,处于相对割裂状态;在市场走势波动较大时,银行类金融板块与非银行类金融板块之间的风险关联程度增强,且保险板块成为重要的中间节点;在两个场景下的异动期和疫情期,国有大型银行板块和城商行板块分别成为最大的风险节点。In recent years, with the deepening of China’s financial reform, the financial liberalization and mixed operation of financial institutions have greatly improved the business and capital flow between different financial sectors and financial institutions. The risk dependence between different financial markets and different financial institutions, and the change of the dependence relationship in different periods are concerned by the academia, especially the financial regulatory authorities. In the process of financial reform, it is particularly important to prevent and resolve financial risks and maintain financial stability. Therefore, it is of great theoretical and practical significance to effectively measure the risk linkage between financial institutions and find the dynamic evolution law of risk dependence. In this paper, the China’s financial sector is divided into 6 major financial sub sectors, namely, state-owned banks, national shareholding banks, city commercial banks, securities, insurance and trust. Taking China’s stock market turbulence in 2015 and the COVID-19 as the research background, the risk dependence and dynamic evolution of 6 financial sub sectors in the two different backgrounds are analyzed. In this paper, the risk dependence network of the financial sector is constructed by calculating the mutual information of the volatility indexes among the sub sectors, the maximum spanning tree is used to describe the core structure of the dependence, and the sliding window is used to examine the dynamic evolution of the dependence relationship. The results show that, firstly, when the market is in a relatively calm period, the risk dependence between banking sector and non banking sector is weak and relatively fragmented, which is more obvious during the background of COVID-19;Secondly, when the state of market trend fluctuates greatly, which is in the bull period and turbulence period of China’s stock market turbulence in 2015, as well as the epidemic period in the COVID-19 background, the

关 键 词：互信息 金融板块 风险相依 动态演化 

分 类 号：F832.5[经济管理—金融学]