“一带一路”沿线国家股市风险溢出效应——基于突发事件的实证检验  

Risk Spillover Effect of the Stock Markets in the Countries along“the Belt and Road”--Empirical Test Based on Emergencies

作　　者：蔡源 崔婕[1] CAI Yuan;CUI Jie(School of Finance,Shanxi University of Finance and Economics,Taiyuan 030006,China)

机构地区：[1]山西财经大学金融学院,山西太原030006

出　　处：《统计学报》2022年第6期74-92,共19页Journal of Statistics

基　　金：国家社会科学基金项目(22BJY165)。

摘　　要：选取2007年9月3日至2022年4月20日“一带一路”沿线16个国家的股市日交易数据,运用溢出指数法从横向与纵向角度比较了突发事件与正常状态下沿线国家股市间的风险溢出程度。结果表明:“一带一路”倡议的推行增强了沿线国家股市的联动性;突发事件下,股市间的双向风险溢出程度显著上升;当沿线各国股市受到极端风险冲击时,我国股市受到的外溢风险概率提高,沿线南亚、东南亚等国对我国的风险溢出水平相对较高。This paper firstly selected the daily trading data of the stock markets of 16 countries along the“the Belt and Road”from September 3,2007 to April 20,2022,and then used the spillover index method to compare the risk spillover degree of the sample countries under the emergency and normal conditions from both horizontal and vertical angles.The results showed that the implementation of the“the Belt and Road”initiative has enhanced the linkage of the stock markets of the sample countries.When emergicies occured,the two-way risk spillover degree among stock markets might rise notably.Moreover,when there were extreme risk shocks in the stock markets of sample countries,China’s stock market was more likely to be subjected to spillover risk.Meanwhile,the risk spillover level of the sample South Asia and Southeast Asia countries to China was relatively high.

关 键 词：突发事件 “一带一路”倡议 股票市场 风险溢出 有向加权网络 

分 类 号：F831.5[经济管理—金融学]