重大事件冲击下全球股票市场波动溢出与跳跃传导研究  

Volatility spillover and jump propagation in global equity markets under the impact of major events

作　　者：朱福敏[1] 刘仪榕 郑尊信[1] 刘小泉 ZHU Fu-min;LIU Yi-rong;ZHENG Zun-xin;LIU Xiao-quan(School of Economics,Shenzhen University,Shenzhen 518060,China;Business School,University of Nottingham Ningbo,Ningbo 315100,China)

机构地区：[1]深圳大学经济学院,深圳518060 [2]宁波诺丁汉大学商学院,宁波315100

出　　处：《管理科学学报》2024年第12期116-138,共23页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(72071132,72173089,72471152)。

摘　　要：为研究重大事件冲击下国际股票市场间不同类型风险的传染特征,本文借助动态跳扩散双因子交叉回馈模型,将股票市场风险分解为连续波动风险与非连续跳跃风险,采用非线性格兰杰因果检验考察国际股市间的风险传染路径,并引入网络拓扑方法量化波动溢出和跳跃传导程度,进而构建了全球股市波动和跳跃风险的传染网络图谱.研究表明:欧美股票市场总体上依然是全球主要的风险净输出者,内地市场虽然是主要的风险溢入方,但对全球其他市场也存在持续性的波动溢出和微弱的跳跃传导.重大突发性事件发生时,全球总的平均跳跃传导程度更高但持续期较短.此外,同一类型重大事件发生在不同地区具有截然不同的传染特征,表现为新冠疫情下美国市场对中国内地存在显著的单向溢出影响.本研究有助于动态认识全球主要市场风险传导特征和路径变化,可为监管当局针对不同风险制定相应的监管政策提供参考.To investigate the contagion characteristics of different types of risks in equity markets during major global events,this paper develops a dynamic jump-diffusion two-factor cross-feedback model to decompose market variance into continuous volatility and discontinuous jump risks.This study conducts a nonlinear Granger causality test to identify the existence of risk contagion and implements the network topology method to quantify the specific degree of volatility spillover and jump risk transmission.The proposed econometric framework allows us to map the contagion network of volatility and jump risks during specific global shocks.The empirical results show that the U.S.and European markets remain the primary risk exporters globally,while the Chinese market acts as a major risk receiver.It also demonstrates persistent volatility spillover and limited jump propagation to other global markets.Furthermore,there is a stronger degree of jump propagation,but it lasts for a shorter duration during unexpected and severe global shocks compared to volatility spillover.Furthermore,the same event exhibits distinct features across different geographical locations,such as the COVID-19 pandemic,where the U.S.exerted a significant risk spillover to China in a unidirectional manner.This study advances the understanding of risk contagion mechanisms between markets and provides theoretical and empirical insights for policymakers to lay out effective regulatory strategies for different risks.

关 键 词：风险传染 波动溢出 跳跃传导 非线性Granger因果检验 网络拓扑方法 

分 类 号：F830[经济管理—金融学]