金融风险传染的关注度渠道研究  

Research on the attention channel for financial risk contagion

作　　者：曹廷求[1,2] 张紫朝 Cao Tingqiu;Zhang Zichao

机构地区：[1]山东大学经济学院,山东济南250100 [2]山东大学(济南)产业金融研究中心,山东济南250100

出　　处：《东岳论丛》2025年第1期29-40,191,共13页DongYue Tribune

基　　金：国家社会科学基金重大项目“地方金融运行动态监测及系统性风险预警研究”(项目编号:19ZDA091);山东省“泰山学者”建设工程。

摘　　要：投资者关注是金融风险传染的重要渠道之一。本文基于Elastic-Net模型与GFEVD方法构建了行业层面投资者关注度的溢出网络,从风险传染的视角考察了投资者关注度溢出对行业风险传染的影响,并将关注度溢出分解为关注度转移和关注度共振,结合行业风险的好坏波动进一步分析了不同模式下关注度溢出对风险传染的异质性影响。结果表明:投资者关注度存在显著的溢出效应,其中环保行业是主要的溢出行业和溢入行业,大部分行业的负向关注度溢出溢入高于正向关注度的溢出溢入;投资者关注度溢出显著加剧了行业间收益率风险传染,这一效果主要体现在关注度的转入和负向共振;投资者关注度转移会显著加大行业间好坏波动的传染。本研究从关注度渠道视角为金融风险传染提供了新的经验证据,对于维护资本市场稳定、防范化解系统性风险具有一定的参考价值。Investor attention is one of the important channels for financial risk contagion.Based on Elastive-Net model and GFEVD method,this paper constructs the spillover network of investor attention at the industry level,examines the influence of investor attention spillover on industry risk contagion from the perspective of risk con-tagion,and decomposes attention spillover into attention transfer and attention resonance.Combined with the good and bad fluctuations of industry risks,this paper further analyzes the heterogeneous impact of attention spillover on risk contagion under different modes.The results indicate that:first,there is a significant spillover effect of investor attention,among which the environmental protection industry is the main spillover industry and spillover industry,and the spillover of negative attention in most industries is higher than that of positive attention.Secondly,the spillover of investor attention significantly intensifies the risk contagion between indus-tries,which is mainly reflected in the transfer of attention and negative resonance.The third,the attention shift has a significant impact on the contagion of good and bad fluctuations between industries.This study pro-vides new empirical evidence for financial risk contagion from the perspective of attention channel,which has certain reference value for maintaining the stability of capital market and preventing and resolving systemic risk.

关 键 词：风险传染 投资者关注 行业关联 关注度转移 关注度共振 金融风险 资本市场 

分 类 号：F830.59[经济管理—金融学]