行业指数波动同步性、风险溢出与传染渠道研究--基于中国股票市场的经验证据  

Synchronicity of Industry Index Volatility,Risk Spillover,and Contagion Channels:Empirical Evidence from the Chinese Stock Market

作　　者：田新民[1] 陈仁全 Tian Xinmin;Chen Renquan

机构地区：[1]首都经济贸易大学经济学院 [2]首都经济贸易大学

出　　处：《金融经济学研究》2024年第2期27-41,共15页Financial Economics Research

基　　金：国家自然科学基金项目(72004145)。

摘　　要：基于2005—2021年的申万一级行业指数,采用GED-GJR-GARCH-DCC模型考察行业波动的同步性,并借助VAR模型的广义方差分解方法构建波动风险溢出层次网络,系统性分析风险的跨行业传染问题。研究发现,行业波动的动态变化具有明显的“事件驱动”特征,极端事件不仅加剧了行业间波动的同步性、非对称性和溢出效应,而且破坏了行业波动关联网络的原有结构。从行业波动的方向性溢出来看,位于产业链中游的制造类行业具有较强的风险溢出能力,上游资源类行业和金融类支撑性行业容易受到其他行业的冲击,具有风险净吸收效应。行业波动溢出层次网络揭示出风险的跨行业传染沿循“风险输出型行业—风险中介型行业—风险吸收型行业”的传导渠道。鉴于此,监管部门应当根据行业风险传染机制进行分类监管,平抑行业波动同步性,切断风险传染渠道,提高风险监控和处理能力。This study harnesses the GED-GJR-GARCH-DCC model to explore the syn-chronicity of industry oscillations,utilizing data from the SWS primary industry indices spanning 2005 to 2021.The methodology encompasses the generalized variance decomposition approach of the vector autoregression model to architect a hierarchical network of volatility risk spillover,thereby probing the interspersed contagion of risk across industries.The results elucidate a pro-nounced"event-driven"attribute in the dynamic oscillations within industries.Extreme occur-rences not only amplify the synchronicity,asymmetry,and spllover implications of inter-industry fluctuations,but they also disrupt the inherent structure of the industry volatility correlation net-work.With respect to the directional spillover of industry volatility,mid-chain manufacturing sectors exhibit a potent risk spillover capacity.Conversely,upstream resource sectors and ancillary financial sectors are more susceptible to shocks from other industries,demonstrating a net risk ab-sorption phenomenon.The hierarchical network of industry volatility spillover divulges a contagion pathway from"risk-emitting industries"to"risk-intermediary industries,"and finally to"risk-absorbing industries."In view of these findings,it is advocated that regulatory bodies imple-ment stratified supervision according to industry risk contagion mechanisms,mitigate the synchro-nicity of industry oscillations,sever risk contagion channels,and augment capabilities for risk sur-veillance and mitigation.

关 键 词：同步性 风险溢出 层次网络 风险传染 

分 类 号：F832.5[经济管理—金融学]