中国股市情绪与农期指数的风险传染和溢出测度  

The Measurement of Risk Contagion and Spillover Effects of Stock Market Sentiment and Agricultural Futures Market in China

作　　者：刘祥东[1] 潘飞 杨玉洁 Liu Xiangdong

机构地区：[1]北京科技大学,经济管理学院,北京100083 [2]香港中文大学(深圳),深圳高等金融研究院,广东深圳518063

出　　处：《金融理论与实践》2022年第10期1-14,共14页Financial Theory and Practice

基　　金：国家自然科学基金资助项目“校准投资者情绪下的外部传染效应、资产定价与系统性风险溢出研究”(71901025);教育部人文社科基金资助项目“结构突变下农产品期货市场风险传染与系统性风险测度”(18YJC790106)的阶段性成果。

摘　　要：为测度中国股市投资者情绪对农期指数的风险传染与溢出效应,采用一个基于Markov转换的混合Clayton copula模型进行实证分析,结果显示:(1)中国股市投资者情绪指数与连豆、豆粕、郑棉、玉米、豆油、郑糖、菜油、棕榈的期货价格指数之间存在Markov转换的两种相关结构状态,在主要状态下呈现弱时变正相关关系;(2)中国股市投资者情绪对上述8种农产品期货价格指数有显著的正向风险溢出效应,并且这些风险溢出效应具有显著的非对称性。这些结果有助于理解中国股市投资者情绪和农期指数之间的风险传染机制,并能够为国家政策以及投资者投资决策的制定提供重要参考。To measure the risk contagion and spillover effect of Chinese stock market sentiment on agricultural futures market,a measurement model isharnessed for risk correlation structure and risk spillover based on Markov-switching mixed Clayton copula.The empirical results show that:(1)there exists two related structural states of Markov-switching between Chinese investor sentiment index and AFI,MFI,CFFI,CFI,YFI,SRFI,OIFI,PFI,showing a weak time-varying positive correlation in the main state.(2)Chinese investor sentiment index has a significant positive risk spillover effect on the 8 agricultural futures price indexes,and this risk spillover effect is asymmetric,and these risk spillover effects have significant asymmetry.These results are helpful to understand the risk contagion mechanism between investor sentiment of stock market and agricultural futures market in China,and can provide an important reference for the formulation of national policies and investors’investment decisions.

关 键 词：证券市场 投资者情绪 农产品期货 COPULA 风险传染 风险溢出 

分 类 号：F832.51[经济管理—金融学]