我国金融市场的高频风险动态传染效应  

The High-frequency Modelling and Contagion Effects of the Systemic Risks across the Chinese Financial Markets

作　　者：罗嘉雯[1] 王升泉 LUO Jia-wen;WANG Sheng-quan(School of Business Administration,South China University of Technology,Guangzhou 510641,China;Institute of Advanced Studies in Humanities and Social Sciences,Beijing Normal University,Zhuhai 519087,China)

机构地区：[1]华南理工大学工商管理学院,广东广州510641 [2]北京师范大学人文和社会科学高等研究院,广东珠海519087

出　　处：《系统工程》2024年第5期118-130,共13页Systems Engineering

基　　金：国家自然科学基金资助项目(72171088,71803049,72003205);广东省自然科学基金资助项目(2023A1515012527);广东省哲学社会科学基金资助项目(GD23CGL01);广东省社科规划一般项目(GD22CYJ12);广州市科技局项目(2023A04J1298);广东金融学会2023-2024年度基础课题(JCKT202307)。

摘　　要：本文通过构建具有双独立无限隐马尔可夫机制转换结构的多元异质自回归(DIHM-MHAR)模型,对我国金融市场高频风险的相关性及其结构变动特征进行研究。本文进一步运用Diebold和Yilmaz提出的预测方差分解法,并结合估计的已实现波动率指标分析我国金融市场间高频风险的动态传导机制。本文选取我国股票市场、股指期货市场、国债期货市场2013年9月6日至2023年7月21日的5分钟高频数据为样本进行实证研究。研究发现:(1)估计的高频波动率指标能较好地反映我国金融市场风险事件的发生,是高频风险的良好代理;(2)股票市场和股指期货市场的高频风险显著受到其他市场的影响,而国债期货市场的高频风险不受其他市场的影响;(3)影响各金融市场高频风险的变量系数和方差存在显著的时变特征,且方差表现出明显的区制转移特征;(4)整体来看,我国金融市场的高频风险溢出程度较大;(5)股票市场和股指期货市场是金融市场高频风险的净供给方,而国债期货市场是净需求方;(6)股票市场主要对股指期货市场和国债期货市场供给高频风险,国债期货市场主要对股指期货市场供给高频风险。研究对指导金融监管和金融资产投资具有重要的现实意义。We build a multivariate heterogeneous autoregressive model(DIHM-MHAR)with double independent infinite hidden Markov regime switching structure to study the dependence and structural characteristics of high-frequency risks across Chinese financial markets.Further,we use the forecast variance decomposition approach proposed by Diebold and Yilmaz~([1,2])to analyze the dynamic transmission mechanism of the high-frequency systemic risk.The five-minute high-frequency data of Chinese stock market,stock index futures market and treasury futures market from September 6,2013 to July 21,2023 are selected as samples for empirical research.It is found that(1)the estimated high-frequency realize volatility estimator can better reflect the occurrence of risk events in China's financial markets and is a good proxy of systematic risk;(2)the risks of stock market and stock index futures market are significantly driven by other markets,while the risk of treasury futures market is not affected by other markets;(3)the coefficients and variances of variables that affect the risk of each financial market have the significant time-varying characteristics,and the coefficient shows an obvious feature of regime switching;(4)on the whole,the risk spillover degree of Chinese financial markets is relatively large;(5)the stock market and stock index futures market are the net suppliers of the risk of the financial markets,while the treasury futures market is the net demander;(6)the stock market majorly supplies the risks to the stock index futures market and the treasury futures market,and treasury futures market majorly supplies the risk to stock index futures market.This study is of great practical significance to guide financial supervision and investment in financial assets.

关 键 词：中国金融市场 高频风险 无限隐马尔可夫状态结构 DIHM-MHAR模型 预测方差分解法 

分 类 号：F832[经济管理—金融学]