股票间的风险传染——基于对股价崩盘风险的预测  

The risk contagion among stocks—Based on theprediction of crash risk on stock price

作　　者：荆思寒 王振山[1] 隋聪 马天一 任昭诺 JING Sihan;WANG Zhenshan;SUI Cong;MA Tianyi;REN Zhaonuo(School of Finance,Dongbei University of Finance and Economics,Dalian 116025,China;School of Maritime Economics and Management,Dalian Maritime University,Dalian 116026,China;Collaborative Innovation Center for Transport Studies,Dalian Maritime University,Dalian 116026,China)

机构地区：[1]东北财经大学金融学院,大连116025 [2]大连海事大学航运经济与管理学院,大连116026 [3]大连海事大学综合交通运输协同创新中心,大连116026

出　　处：《系统工程理论与实践》2022年第11期3090-3104,共15页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71971034,71571034,71731003);国家社会科学基金(19ZDA094)。

摘　　要：本文基于1997年至2018年中国A股上市公司股票日度交易数据,建立了中国股票市场个股崩盘概率预测模型.结合事件研究法检验了预测模型对个股崩盘识别能力.结果表明模型对未来发生股价崩盘的个股具有一定的识别能力,同时模型具有较好的股票崩盘临界点预测能力.在预测模型基础上,本文研究了中国股票市场中,公司特征变量在股票间崩盘风险传染中所起的作用.本文从个股崩盘风险预测入手,将个股崩盘风险与风险传染问题相结合,为相关研究做出了贡献.Based on the daily trading data of Chinese A-share listed companies from 1997 to 2018,this paper establishes a prediction model for the probability of price crashes of individual stocks in the Chinese stock market.Combined with the event study method,the ability of the prediction model to identify individual stock crashes is tested.The result shows that the model has the ability to identify individual stocks with stock price crashes in the future,meanwhile the model has an excellent ability to predict the critical point of stock crashes.Based on the prediction model,this paper studies the role of corporate characteristic variables in crash risk contagion in China's stock market.Beginning with the prediction of individual stock crash risk,this paper combines individual stock crash risk and risk contagion.It has made contributions to related research.

关 键 词：风险传染 股价崩盘 崩盘风险 超额收益 

分 类 号：F832.51[经济管理—金融学]