中国绿色证券与传统金融市场风险传染机制研究  

Research on risk contagion mechanism between Chinese green securities and traditional financial markets

作　　者：高扬[1] 李杨洋 王耀君 GAO Yang;LI Yangyang;WANG Yaojun(School of Economics and Management,Beijing University of Technology,Beijing 100124,China;College of Information and Electrical Engineering,China Agricultural University,Beijing 100083,China)

机构地区：[1]北京工业大学经济与管理学院,北京100124 [2]中国农业大学信息与电气工程学院,北京100083

出　　处：《管理工程学报》2023年第6期77-93,共17页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(72171005)。

摘　　要：随着我国绿色证券市场规模的不断扩大、金融衍生品种类的不断增多及其资金来源的复杂化,绿色证券市场的风险可控性逐渐降低,其与传统金融市场的融合过程中很可能会积聚风险并引发风险传染。本文重构了金融系统研究框架,探究了绿色债券、绿色股票与依行业划分的完整金融市场间的风险传染机制。通过分别构建R-藤Copula模型和混频有向加权复杂网络,探究了我国绿色证券市场与传统金融市场在系统层面的风险传染路径,进一步完善了在中国的特定市场条件下风险传递机制的理论框架。此外,通过对原油价格暴涨、中美贸易战/定向降准以及新冠疫情三阶段金融事件进行对比研究,发现金融事件会通过提升跨市场风险传染水平,经过“风险产生→交叉传染→再交叉传染”的过程使金融系统风险联通性整体上升。此外金融事件的发生会引起使得高频溢出水平显著上升,中频溢出和低频溢出会向高频溢出转化。研究结果不仅有助于监管者维护绿色证券市场的稳定与健康发展,完善绿色证券的风险控制体系,同时可以促进绿色证券投资者规避投资风险和优化资产配置。With the rapid development of China′s green financial system,risk and information spillovers are associated with China′s green securities and traditional financial markets.The instability of the international political and economic environment and the escalation of trade frictions further increase the possibility of cross-market risk infection.Therefore,exploring the risk infection mechanism among China′s green bond market,green stock market,and traditional financial markets will be helpful in providing a theoretical basis for improving the development of domestic green finance.In addition,it will also be of great significance to resource allocation between China′s emerging green financial market and the traditional financial market.This study reconstructs the research framework of the financial system and explores the risk contagion among green bonds,green stocks,and traditional financial markets categorized by industry.Moreover,combined with several major financial events,we further construct linkage and contagion networks and examine the contagion effect of financial risk between China′s green securities and traditional markets.First,this study applies the R-Vine Copula model to establish a linkage network of the green securities market and traditional financial markets.It reflects the linkage level between green securities and traditional markets under normal and extreme risk conditions.Second,based on the DY and BK spillover indices,this study constructs a complex network of risk contagion in the time and frequency domains.We then compare the linkage networks further to explore the risk contagion mechanism in various markets.Finally,regarding the skyrocketing crude oil prices,the Sino-US trade war/targeted RRR cuts,and COVID-19 three-stage financial events,this study further considers the dynamic correlation and nonlinear correlation characteristics of different markets and presents the evolution process of different markets under various conditions from a dynamic perspective.We obtain several inte

关 键 词：绿色证券市场 风险传染 R-藤Copula 溢出指数 混频复杂网络 

分 类 号：F832.5[经济管理—金融学] X196[环境科学与工程—环境科学]