中国金融市场系统性风险对公募基金收益率的溢出效应  

The Spillover Effect of Systemic Financial Risk on the Chinese Mutual Fund Market

作　　者：周佰成[1,2] 马克 王婧仪 ZHOU Bai-cheng;MA Ke;WANG Jing-yi(School of Economics,Jilin University,Changchun 130012,China;Institute of National Development and Security Studies,Jilin University,Changchun 130012,China;School of Business and Management,Jilin University,Changchun 130012,China)

机构地区：[1]吉林大学经济学院,吉林长春130012 [2]吉林大学国家发展与安全研究院,吉林长春130012 [3]吉林大学商学与管理学院,吉林长春130012

出　　处：《经济问题》2025年第4期70-80,共11页On Economic Problems

基　　金：国家社会科学基金一般项目“注册制改革对企业投融资的影响及其作用机制”(23BJY064)。

摘　　要：基于2013—2023年金融市场日度数据,采用GARCH-Copula-CoVaR模型,深入刻画了金融市场之间在正常和极端条件下的风险联系。研究结果表明,系统性风险的提高显著增大了市场波动性,这种波动性直接影响了公募基金收益率。公募基金对高风险资产配置极为敏感,尤其在极端市场条件下,其风险溢出效应对基金资产配置影响显著。因此,面对复杂的风险溢出效应,公募基金管理者应当建立完善的风险管理体系,提升风险识别和评估能力,采取积极的资产配置及风险分散策略降低潜在损失。监管机构应通过制定和执行宏观审慎政策,强化跨市场监管,推动金融创新,提高金融系统的韧性和适应性。Based on daily data of financial markets from 2013 to 2023,the GARCH Copula model was used to deeply characterize the risk connections between financial markets under normal and extreme conditions.The research results indicate that the increase in systemic risk significantly enhances market volatility,which directly affects the returns of public funds.Public funds are extremely sensitive to high-risk asset allocation,especially under extreme market conditions,and their risk spillover effects have a significant impact on fund asset allocation.Therefore,in the face of complex risk spillover effects,public fund managers should establish a sound risk management system,enhance risk identification and evaluation capabilities,and adopt active asset allocation and risk diversification strategies to reduce potential losses.Regulatory agencies should strengthen cross market supervision,promote financial innovation,and enhance the resilience and adaptability of the financial system by formulating and implementing macro prudential policies.

关 键 词：金融市场 系统性风险 公募基金 尾部风险 

分 类 号：F832.51[经济管理—金融学]