国际主要股票市场的波动风险溢出效应及其动态演绎过程研究  

The Spillover Effect of Volatility Risk in Major International Stock Markets Dynamic Deductive Process Research

作　　者：周东海 陈滨霞 蒋远营[1] ZHOU Dong-hai;CHEN Bin-xia;JIANG Yuan-ying(College of Science,Guilin University of Technology,Guilin 541004,China)

机构地区：[1]桂林理工大学理学院,广西桂林541004

出　　处：《数理统计与管理》2022年第5期927-950,共24页Journal of Applied Statistics and Management

基　　金：国家自然科学基金(71963008);广西自然科学基金联合培育项目(2018GXNSFAA294131)。

摘　　要：从已实现波动溢出的角度考察金融市场风险传染机制,可追溯高频、高阶矩金融风险在国际金融市场中的传染途径与溢出方向。本文先从“传统经济基础理论”、“金融风险传染猜想”两个层面分析股市波动风险的溢出效应。接着引入时变参数(TVP)因子和随机波动(SV)因子,从时差效应和信息冲击效应等角度对美国、日本、香港、沪市的日内已实现波动率(RV)时间序列数据进行建模。通过多项稳健性检验发现,证券市场之间的波动具有显著的风险溢出效应和金融传染效应,且存在时变性与结构突变特征。在全球风险传递链中,美国市场在波动传递中占据主导地位,冲击会迅速外溢到其他市场,其中波动风险会最大程度影响到日本。中国内地股市不仅对外围市场波动信息反应迅速而强烈,而且能够显著影响外围市场。中国香港是亚洲股票市场波动外溢的中心地区之一,与内地股市之间的短期双向溢出效应最为显著。本文新提出的时变脉冲函数体系,对市场风险传染有很强的全局刻画能力,特别是在港股跃居全球股市前三甲的预判中取得了很满意结论。时变脉冲体系可以推广应用到金融市场和宏观计量经济等的多个领域。From the perspective of realized volatility spillover,the contagion mechanism of financial market risk can be traced back to the contagion route and spillover direction of high frequency and high order financial risk in international financial market.This article first analyzes the spillover effect of stock market volatility risk from two levels: "traditional economic basic theory " and "financial risk contagion conjecture".Then introduce the time-varying parameter(TVP)factor and the stochastic volatility(SV) factor to model the intra-day realized variance(RV) time series of the United States,Japan,Hong Kong,and the Shanghai stock market from the perspective of time difference and information shock effects.Through multiple robustness tests,it is found that the volatility between securities markets has significant risk spillover effects and financial contagion effects,as well as time-varying and structural mutation characteristics.In the global risk transmission chain,the US market dominates the volatility transmission,and the impact will spill over quickly to other markets,where volatility risk will affect Japan to the greatest extent.The Chinese mainland stock market not only responds rapidly and strongly to the fluctuation information of the peripheral market,but also can significantly affect the peripheral market.Hong Kong,China,is one of the central regions of Asian stock market volatility spillover,and the short-term two-way spillover effect with mainland stock market is the most significant.In this paper,the new time-varying impulse function system has a strong overall characterization ability to market risk contagion,especially in Hong Kong stock jump to the top three global stock market forecast has reached a very satisfactory conclusion.The time-varying impulse system can be applied to many fields such as financial market and macro-econometric.

关 键 词：已实现波动 溢出效应 时变参数VAR模型 时变脉冲体系 稳健性检验 

分 类 号：F832[经济管理—金融学] O212[理学—概率论与数理统计]