教育板块对金融市场风险传染的影响测度  

Impact Measurement of Education Sector on Risk Contagion in Financial Markets

作　　者：杨杰胜 孙荣[1,2] YANG Jiesheng;SUN Rong(School of Mathematics and Statistics,Chongqing Technology and Business University,Chongqing 400067,China;Chongqing Key Laboratory of Socio Economic Application Statistics,Chongqing Technology and Business University,Chongqing 400067,China)

机构地区：[1]重庆工商大学数学与统计学院,重庆400067 [2]重庆工商大学社会经济应用统计重庆市重点实验室,重庆400067

出　　处：《科技和产业》2024年第21期152-157,共6页Science Technology and Industry

摘　　要：风险测度是投资决策和风险管理过程中至关重要的一环,它有助于投资者更好地理解和管理其投资组合的风险,并最大限度地实现其投资目标。使用GARCH(广义自回归条件异方差)模型与Copula模型对上证指数、沪深300指数以及深证成指数与教育指数的日收益率进行建模。研究结果表明:样本期内,上证指数、沪深300指数以及深证成指数作为综合股票指数,相较于教育指数,其抗风险能力更强;上证指数、沪深300指数以及深证成指数与教育指数间存在明显的双向风险溢出效应且风险传染强度不对称;研究中发现VaR(在险价值)以及CoVaR(条件在险亏损)一般会低估市场的风险和市场的条件风险。Risk measurement is a crucial part of investment decision-making and risk management processes,which helps investors better understand and manage the risks of their investment portfolios,and maximize the achievement of their investment goals.GARCH(generalized autoregressive conditional heteroscedasticity)and Copula models were used to model the daily returns of the Shanghai Composite Index,Shanghai and Shenzhen 300 Index,as well as the Shenzhen Component Index and Education Index.The research results indicate that during the sample period,the Shanghai Composite Index,the CSI 300 Index,and the Shenzhen Component Index,as comprehensive stock indices,have stronger risk resistance compared to the Education Index.There is a significant bidirectional risk spillover effect and asymmetric risk contagion intensity between the Shanghai Composite Index,the CSI 300 Index,and the Shenzhen Component Index and the Education Index.Research has found that VaR(value at risk)and CoVaR(conditional value at risk)generally underestimate market risk and market conditional risk.

关 键 词：CoVaR(条件在险价值) CoES(条件预期亏损) GARCH(广义自回归条件异方差)模型 COPULA 风险传染 

分 类 号：F830[经济管理—金融学]