资本市场开放对输入性金融风险的“双刃剑”效应  

The Double-Edged Sword Effect of Capital Market Opening-up on Imported Financial Risk

作　　者：杨子晖 王姝黛 Yang Zihui;Wang Shudai

机构地区：[1]上海财经大学金融学院、滴水湖高级金融学院 [2]广东外语外贸大学金融学院、金融开放与资产管理研究中心,广州市510006

出　　处：《世界经济》2025年第2期76-108,共33页The Journal of World Economy

基　　金：国家社会科学基金项目(23VRC077);国家自然科学基金青年项目(72403060);教育部哲学社会科学研究后期资助重大项目(24JHQ010)的资助。

摘　　要：随着中国资本市场开放进程的持续加快,金融安全正面临机遇与挑战并存的局面。在此背景下,本文采用极值理论方法对2000-2022年中国A股市场的输入性风险展开测度,并考察股市互联互通机制、合格境外机构投资者制度对各类输入性风险成分的影响。研究发现,资本市场开放对输入性风险表现出“双刃剑”效应:股市互联互通虽然提升了A股与境外市场的风险共振强度,但也改善了企业的经营业绩,进而降低了股票市场中的个体尾部风险。此外,本文结合网络关联分析法,识别出海外风险经由股市互联互通冲击A股市场的传导路径,并根据本文结论对防范输入性风险提出相关建议,为金融高水平开放的制度设计和政策选择提供了参考。With the gradual opening-up of the capital market, China's financial security faces both opportunities and challenges. In this context, this paper uses the extreme value theory proposed by Van Oordt and Zhou(2019a) to measure the imported financial risk of the A-share market between 2000 and 2022. It then discusses the impact of the stock connect program and the QFII program on different types of imported risks. The paper also employs connectedness network analysis(Billio et al., 2012) to identify the transmission path of overseas risks affecting the A-share market through China's stock connect program.The paper contributes to research on China's imported financial risk as follows. First, the impact of capital market opening-up on the different financial risk components can be the opposite. The analysis from a single perspective of linkage risk or individual risk leads to biased conclusions. To overcome this problem, the paper decomposes imported financial risk into systemic linkage and individual tail risk,thus clarifying the differential impact of capital market opening-up on these two risk components.Second, the A-share market in China differs from other markets in terms of investor structure,institutional environment and trading style. However, the existing literature pays less attention to the heterogeneity of the A-share market. In this sense, the paper makes an innovative attempt in this field.In particular, this paper identifies the double-edged sword effect of the capital market opening-up on imported risk. On the one hand, the recent increase in risk dependence can be explained by the stock connect program in China. On the other, the stock connect program can also improve business performance, which can reduce individual tail risks. At the same time, the study finds that there is a risk transmission relationship of “overseas market → connected stocks of China's stock connect program”.Within the A-share market, connected stocks, especially those in the Shanghai-Hong Kong Stock Connect Program, face

关 键 词：资本市场开放 输入性风险 极值理论方法 网络关联分析 

分 类 号：F832.51[经济管理—金融学]