大宗商品市场与股票市场的尾部相依结构及溢出效应研究  

Research on Tail Dependence Structure and Spillover Effects Between Commodity Market and Stock Market

作　　者：田静 张志鹏 闫明 Tian Jing;Zhang Zhipeng;Yan Ming(School of Economics,Nankai University,Tianjin 300071,China;School of Economics and Management,Tianjin University of Technology and Education,Tianjin 300350,China;School of Management Science and Engineering,Tianjin University of Finance and Economics,Tianjin 300222,China)

机构地区：[1]南开大学经济学院,天津300071 [2]天津职业技术师范大学经济与管理学院,天津300350 [3]天津财经大学管理科学与工程学院,天津300222

出　　处：《统计与决策》2023年第21期132-137,共6页Statistics & Decision

基　　金：国家自然科学基金面上项目(72071140,12271395);教育部人文社会科学研究青年基金项目(19YJC630199)。

摘　　要：近年来,极端风险事件频发给大宗商品市场和股票市场发展带来前所未有的重大考验,研究两个市场间的波动溢出效应对于构建“双循环”新发展格局,促进中国后疫情时代的经济高质量发展与复苏都有着十分重要的作用。文章采用QQA和QVAR-DY模型实证研究了国内外大宗商品市场对我国行业股市的波动溢出效应及其尾部特征。实证结果表明:第一,国际大宗商品市场对中国行业股市在任意分位数点都产生正向的冲击作用,国内大宗商品市场对中国行业股市的溢出影响随着国内大宗商品市场分位数的减小,由负向影响转化为正向影响;第二,静态溢出分析中,极端冲击下的尾部波动溢出效应明显强于正常状态,极端冲击下国内大宗商品对能源行业、材料行业和公用事业的方向性溢出水平最大;第三,动态溢出分析中,极端状态与正常状态总溢出走势存在较大的差异,且与2008年全球金融危机、2020年新冠肺炎疫情等极端经济金融事件和公共卫生事件密切相关。In recent years,the frequent occurrence of extreme risk events has brought unprecedented major tests to the devel-opment of commodity markets and stock markets.Studying the volatility spillover effect between the two markets plays a very im-portant role in building a new development pattern of“double cycle”and promoting China's high-quality economic development and recovery in the post-epidemic era.This paper uses the quantile-on-quantile approach(QQA)and QVAR-DY model to em-pirically study the volatility spillover effect and tail characteristics of domestic and foreign commodity markets on Chinese indus-trial stock markets.The empirical results go as the following:Firstly,the international commodity market has a positive impact on China’s industrial stock market at any decimal point,and the spillover effect of the domestic commodity market on China’s indus-trial stock market changes from negative to positive with the decrease of the quantile of the domestic commodity market.Secondly,in the static spillover analysis,the tail volatility spillover effect under extreme shocks is obviously stronger than thar in the normal state,and the directional spillover level of domestic commodities to the energy industry,material industry and public utilities is the largest under extreme shocks.Thirdly,in the dynamic spillover analysis,the total spillover trend of extreme state and normal state is significantly different,and is closely related to extreme economic and financial events such as the global financial crisis in 2008 and the COVID-19 epidemic in 2020.

关 键 词：大宗商品市场 股票市场 极端溢出 分位数对分位数方法 

分 类 号：F832[经济管理—金融学]