新冠疫情非同步演化下中美股指期货市场间的风险溢出效应研究  

Study on the Risk Spillover Effect Shown in Stock-index Futures Markets in China and the US in the Context of Non-synchronous Evolution of the COVID-19

作　　者：姚登宝[1,2] 刘倩倩 王云龙 YAO Deng-bao;LIU Qian-qian;WANG Yun-long(School or Economics,Anhui University,Hefei,Anhui 230601;Research Center or Financc and Statistic,Hefei,Anhui 230601)

机构地区：[1]安徽大学经济学院,安徽合肥230601 [2]安徽大学金融与统计研究中心,安徽合肥230601

出　　处：《淮阴师范学院学报（哲学社会科学版）》2023年第2期138-149,215,共13页Journal of Huaiyin Teachers College(Social Sciences Edition)

基　　金：2018年度国家自然科学基金青年项目“‘强监管’与‘去杠杆’双重约束下我国系统性金融风险的演化机制及其监控研究”(71803002);2021年度安徽省哲学社会科学规划项目“金融支持安徽战略性新兴产业集群发展的效率评价与路径优化研究”(AHSKY2021D135)。

摘　　要：新冠疫情强化了中美股指期货市场间的正相关性,使之存在显著的双向风险溢出效应,且该效应具有明显的非对称性。从整体上看,美国市场对中国市场的风险溢出强度更为明显。在新冠疫情暴发前、疫情集中暴发阶段和疫情扩散阶段,美国对中国股指期货的风险溢出效应呈现增强趋势,而中国对美国股指期货的风险溢出效应则呈现出先增强后减弱的特点。中美股指期货市场间的风险溢出效应具有较强的持续性。投资者恐慌情绪加剧了美国对中国股指期货市场的风险溢出强度,放大了新冠疫情对该溢出效应的影响程度,但中国股指期货市场对美国股指期货市场的风险溢出效应不显著。The COVID-19 has enhanced the positive correlation between the stock-index futures markets in China and US, enabling them to show an obvious two-way risk spillover effect, and the effect is obviously unsymmetrical. On the whole, the strength of risk spillover from the US market to Chinese market is more obvious. Before the outbreak of COVID-19, during the period of concentrated outbreak and the diffusion of COVID-19, the risk spillover effect on Chinese stock-index futures market from the US market shows an increasingly stronger tendency, but the risk spillover effect on the US stock-index futures market from the Chinese market shows the feature of firstly increasing and then decreasing. The risk spillover effect in stock-index futures markets in China and the US displays strong persistence. The panic from investors has intensified the intensity of risk spillover from the United States to the Chinese stock index futures market, and amplified the degree of influence imposed by COVID-19 on the spillover effect. However, the risk spillover effect from the Chinese stock index futures market on the US stock index futures market is not obvious.

关 键 词：新冠疫情 股指期货 风险溢出 TGARCH-Copula-CoVaR模型 

分 类 号：F830.9[经济管理—金融学]