极端事件下国际股市间风险溢出效应研究  

The Research on Risk Spillover Effects Between International Stock Markets During Extreme Events

作　　者：刘妍 潘晨 Liu Yan;Pan Chen(School of Economics,Ocean University of China,Qingdao 266100,China)

机构地区：[1]中国海洋大学经济学院,山东青岛266100

出　　处：《中国海洋大学学报（社会科学版）》2023年第4期49-60,共12页Journal of Ocean University of China(Social Sciences)

基　　金：国家自然科学基金青年科学基金项目“函数型波动率模型构建、估计理论及其应用研究”(72003180)。

摘　　要：近年来,极端事件的频发提高了股市风险的流转速率,全球股票市场动荡不安并表现出强烈的共振效应。在此背景下,研究极端事件下国际股票市场间的溢出效应,挖掘股市风险的传播特点,有助于监管部门制定针对性风险防控政策,提高风险管理效率。基于TVP-VAR模型的溢出指数法及风险溢出网络模型,重点对中美贸易摩擦时期和乌克兰危机时期的股市风险传播特点进行实证分析。分析结果表明,股市风险溢出效应存在区域“抱团”现象,同属区域股票市场间的风险溢出强度较大;除俄罗斯外,其他欧美地区股市是风险净溢出者,俄罗斯、澳大利亚及亚洲地区股市为风险净接收者;相较于乌克兰危机,中美贸易摩擦对股市风险溢出效应的影响更大,总体溢出指数呈现显著的跳跃式上升趋势。同时,中美贸易摩擦时期风险溢出网络的平均聚类系数大于乌克兰危机时期和平稳时期,网络连接更紧密,风险流转速率更高;中国股市在中美贸易摩擦时期的风险溢入净值大于乌克兰危机时期,遭受其他股市的风险冲击更大。In recent years,the frequent occurrence of extreme events has increased the turnover rate of stock market risks,causing global stock markets to be turbulent and exhibiting strong resonant effects.In this context,studying the spillover effects between international stock markets during extreme events and exploring the spread characteristics of stock market risks can help regulatory authorities to formulate targeted risk prevention and control policies and improve risk management efficiency.Using the spillover index method and risk spillover network model based on TVP-VAR model,the paper focuses on the empirical analysis of the characteristics of stock market risk transmission during the Sino-American trade friction and the Ukrainian crisis.The results show that the spillover effects of stock markets is characterized as"closely knitting",and the risk spillover effect between stock markets in the same region is greater.Except for Russia,other European and American stock markets are net risk spillovers,while Russian,Australian,and Asian stock markets are net risk recipients.Compared with the Russia-Ukraine conflict,the Sino-American trade friction has a greater impact on the risk spillover effect of the stock market,and the overall spillover index shows a significant upward leaping trend.At the same time,the average clustering coefficient of the risk spillover network in the period of Sino-American trade friction is greater than that in the period of Russia-Ukraine conflict,and peace and stability,the network connection is closer,and the risk turnover rate is higher.The net risk spillover value of China's stock market in the period of Sino-American trade friction is greater than that in the period of Russia-Ukraine conflict,and the risk impact from other stock markets is greater.

关 键 词：时变溢出指数 风险溢出网络 中美贸易摩擦 乌克兰危机 

分 类 号：F831.51[经济管理—金融学]