发达市场与新兴市场的尾部风险——溢出、传染与传染动因检验  

Tail Risks in Developed and Emerging Markets——Test of Spillover,Contagion and Contagion Determinants

作　　者：张雪彤 张卫国[1] 王超 Zhang Xuetong;Zhang Weiguo;Wang Chao(School of Business Administration,South China University of Technology,Guangzhou 510640,China)

机构地区：[1]华南理工大学工商管理学院,广东广州510640

出　　处：《中国管理科学》2024年第4期14-25,共12页Chinese Journal of Management Science

基　　金：国家自然科学基金重点项目(71720107002);国家自然科学基金项目(U1901223)。

摘　　要：本文检验金融危机时期发达市场与新兴市场之间是否存在跨市场尾部风险溢出和传染,并分析跨市场尾部风险传染的驱动因素。首先,采用多元多分位数条件自回归模型(MVMQ-CAViaR)测度次贷危机和欧债危机时期发达市场和新兴市场间尾部风险溢出的方向和程度。其次,通过平稳时期与危机时期尾部风险溢出程度的差异性检验来分析跨市场传染效应。最后,基于改进的国际因子风险传染动因模型,从信息不对称、流动性约束和羊群行为三个视角考虑投资者行为的影响,将宏观经济基本面、全球性风险冲击及投资者行为纳入到统一框架中,深入考察两次危机时期驱动尾部风险跨市场传染的因素。结果表明,两次金融危机均存在发达市场与新兴市场间的尾部风险溢出与传染;宏观经济基本面、全球性金融恐慌和流动性紧缩是尾部风险跨市场传染的主要驱动因素,同时,信息不对称、流动性约束和羊群行为也是两次危机尾部风险跨市场传染动因之一。It is examined whether there are cross-market tail risk spillovers and contagion between developed markets and emerging markets during the financial crisis in this article.The determinants of cross-market tail risk contagion are analyzed using the multivariate and multi-quantile conditional autoregressive model(MVMQ-CAViaR)to measure the tail risk spillovers between developed and emerging markets during the subprime mortgage crisis and the European debt crisis.While the cross-market contagion effect of the tail risk in the crisis period is analyzed through the test of the difference of the degree of tail risk spillover between the stable period and the crisis period.A international factor model is used to test risk contagion channels,including macroeconomic fundamentals,global risks and investor behavior.The impact of investor behavior is considered from the three perspectives:investor information asymmetry,liquidity constraints and herd behavior.The fac-tors of investor behavior are incorporated into a unified framework to examine how to led to cross-market tail risk contagion during the two crises.Evidence shows that the two financial crises exist spillovers and contagion of tail risks between developed markets and emerging markets.Furthermore,macroeconomic fundamentals,global financial panic,and liquidity crunch are the main causes of cross-market contagion of tail risks.Last,investors'information asymmetry,liquidity constraints and herding behavior are also causes of the cross-market contagion of the tail risks of the two crises.

关 键 词：尾部风险 风险溢出效应 风险传染动因 投资者行为 

分 类 号：F830.99[经济管理—金融学]