国际大宗商品对中国股市的风险溢出效应研究  

Research on the Risk Spillover Effect of International Commodity Market on Chinese Stock Market

作　　者：刘光彦 姜婷 黄钰颖 张鑫宇 LIU Guang-yan;JIANG Ting;HUANG Yu-ying;ZHANG Xin-yu(Shandong Technology and Business University,Yantai 264005,China)

机构地区：[1]山东工商学院金融学院,山东烟台264005

出　　处：《山东工商学院学报》2023年第6期1-10,21,共11页Journal of Shandong Technology and Business University

摘　　要：结合溢出指数法,将国际大宗商品价格指数与我国股票市场行业指数2011—2021年的日度数据进行匹配,从波动溢出视角,研究国际大宗商品市场对我国股票市场的风险溢出效应。结果表明,国际大宗商品市场与我国股票市场间的价格波动存在较为显著的双向溢出效应,同时,国际大宗商品市场对中国股票市场各行业存在风险净输出;国际大宗商品市场价格波动对原材料和可选消费行业具有显著的风险溢出,其中金属类大宗商品风险溢出最大;国际大宗商品市场对我国股市风险溢出具有时变特征,极端事件冲击与系统风险溢出呈现出明显的正向关联,而强监管政策的实施则能有效抑制系统风险的扩散。根据结论,提出监管层加强风险监管、投资者做好投资组合风险管理等建议。Combined with the spillover index method,the international commodity price index is matched with the daily data of China's stock market industry index from 2011 to 2021,and the risk spillover effect of the international commodity market on China's stock market is studied from the perspective of volatility spillover.The results show that:there is a significant two-way spillover effect between the international commodity market and China's stock market,and there is a net risk output from the international commodity market to all sectors of China's stock market;The price fluctuation of the international commodity market has significant risk spillovers on the raw materials and optional consumer industries,of which the metal commodity has the largest risk spillover;The risk spillover from international commodity markets to China's stock market is characterized by time-varying characteristics.The impact of extreme events and the systematic risk spillover show obvious positive correlation,while the implementation of strong regulatory policies can effectively curb the spread of systematic risk.According to the conclusion,the paper puts forward suggestions such as strengthening risk supervision by the regulatory level and improving portfolio risk management by investors.

关 键 词：国际大宗商品市场 股票市场 风险溢出效应 溢出指数 

分 类 号：F740.2[经济管理—国际贸易] F832.51[经济管理—产业经济]