证券市场第三产业板块行业间信用风险传染研究

发布时间：2018-05-13 00:33

本文选题：第三产业板块 + 行业信用风险　；参考：《湖南大学》2014年博士论文

【摘要】：第三产业显著影响经济体系的资金流、物流、信息流等。在经济结构调整和经济转型时期,第三产业得到政府的大力扶持,而第三产业上市公司也从中受益,成为证券市场上的潜在热点。但是,第三产业各行业间存在较强的风险关联性,且其信用风险传染效应较为显著。在此背景下,第三产业出现连锁性行业危机的可能性较大,而且其信用风险扩大效应明显。因此,为了推动第三产业的健康持续发展,提高第三产业信用风险管理效率,对证券市场第三产业板块行业间信用风险传染展开深入研究十分必要。在理论分析部分,本文从信用风险传染的界定、信用风险传染的影响因素以及信用风险传染的机理等三个方面进行阐述。首先讨论信用风险传染的内涵及特点,继而分析证券市场第三产业板块及第三产业上市公司信用风险概况,并考察第三产业行业信用风险传染的影响因素,最后探讨第三产业行业信用风险的传染机理,为后续探索第三产业板块行业间信用风险传染奠定理论基础。就实证研究而言,本文以逐步递进的方式,从证券市场第三产业板块行业信用风险的度量、第三产业板块行业间信用风险传染路径的分析、第三产业板块行业间信用风险传染效应的测度、第三产业板块行业间信用风险传染影响因素的判定等4个方面出发,系统探讨第三产业板块行业间信用风险传染问题。首先,构建行业信用风险度量模型,对第三产业板块各行业的信用风险进行量化分析。发现相较于单个预测模型,该组合模型能更准确地预测公司的违约概率,且犯第一类错误的概率更小。然后,选取多变量Granger因果检验法,对第三产业行业信用风险传染路径进行探讨,检测出两变量Granger因果检验中不能分辨出来的信息技术业对交通运输仓储业、交通运输仓储业对房地产业、社会服务业对交通运输仓储业的伪因果关系。且发现其它各行业的信用风险变化均会直接传导至交通运输仓储业,使交通运输仓储业也发生信用风险变化。接着,构建行业信用风险传染效应度量模型,考察第三产业板块5个行业间的信用风险传染效应,证实交通运输仓储业与其它4个行业、房地产业与社会服务业、批发和零售贸易业与社会服务业间的信用风险传染效应较明显。并发现行业间信用风险传染效应大致都呈现一个震荡上行的趋势,说明样本期内第三产业板块各行业间信用风险传染效应日益增强。最后,从不同行业间信用风险传染影响因素差异性的角度,分别构建不同行业间信用风险传染影响因素分析模型,证实第三产业板块行业间信用风险传染与经济发展态势负相关、与通货膨胀程度负相关、与经济事件发生情况正相关、与行业负债流动性呈负相关、与行业规模正相关。而且对不同行业信用风险传染程度起决定作用的影响因素是有差异的。在应用研究方面,本文基于中国证券市场第三产业上市公司信用风险管理现状,参考欧美等国家第三产业信用风险管理的经验,从信用风险管理体系、信用风险管理技术和信用风险管理流程等三个方面出发,探讨第三产业信用风险管理创新策略。
[Abstract]:The third industry has a significant impact on the financial flow, logistics, information flow and so on. In the period of economic restructuring and economic transformation, the third industry has been strongly supported by the government, and the third industry listed companies also benefit from it and become a potential hot spot in the securities market. However, there are strong risk associations among the various industries of the third industry, and The effect of the credit risk contagion is more significant. Under this background, the third industry is more likely to have a chain industry crisis, and its credit risk expansion effect is obvious. Therefore, in order to promote the healthy and sustained development of the third industry, improve the management efficiency of the credit risk of the third industry, and to the inter industry credit of the third industry plate of the securities market. It is necessary to study the risk contagion in depth.
In the part of the theoretical analysis, this paper expounds the definition of the contagion of credit risk, the influencing factors of the contagion of credit risk and the mechanism of the contagion of credit risk. Firstly, it discusses the connotation and characteristics of the contagion of credit risk, and then analyzes the general situation of the credit risk of the third industry and the listed companies of the third industry, and investigates the general situation of the credit risk of the stock market and the third industry. The factors affecting the contagion of credit risk in the third industry industry, and finally discuss the contagious mechanism of the credit risk in the third industry industry, and lay a theoretical foundation for the follow-up exploration of the credit risk infection among the third industry plate industries.
As far as empirical research is concerned, this paper takes the way of gradual progress, from the measure of credit risk in the third industry plate industry of the securities market, the analysis of the contagious path of credit risk among the third industry plate industries, the measure of the contagious effect of the credit risk among the third industry plate industries, the judgment of the influence factors of the credit risk contagion among the third industry plate industries. Starting from 4 aspects, this paper systematically discusses the problem of the credit risk contagion among the third industry plate industries. First, we construct the industry credit risk measurement model and quantify the credit risk of the third industry sectors. It is found that compared with the single prediction model, the combination model can be more accurate for the Forecast Ltd's default probability and make the first one. The probability of class error is smaller. Then, the multivariable Granger causality test is selected to explore the contagious path of credit risk in the third industry. The information technology industry, which can not be distinguished from the two variable Granger causality test, is detected for the transportation and storage industry, the transportation and storage industry to the real estate industry, the social service industry to the transportation warehouse. In addition, it is found that the change of credit risk in other industries will be directly transmitted to the transportation and warehousing industry, and the credit risk changes in the transportation and warehousing industry. Then, the measurement model of the contagious effect of the industry credit risk is constructed, and the contagious effect of the credit risk among the 5 industries of the third industry plate is examined, and the traffic is confirmed. The effect of the credit risk contagion between the transportation and storage industry with the other 4 industries, the real estate industry and social service industry, the wholesale and retail trade and the social service industry is more obvious. It is found that the contagious effect of the inter industry credit risk is generally a trend of oscillation, indicating the credit risk contagion between the third industry sectors in the sample period. Finally, from the angle of the difference of the influence factors of the credit risk infection among different industries, the analysis model of the influence factors of the credit risk infection among different industries is constructed respectively. It is confirmed that the credit risk contagion between the third industries is negatively related to the economic development situation, and has a negative correlation with the degree of inflation and the occurrence of the economic events. There is a positive correlation in the situation, which is negatively related to the liquidity of the industry, and is positively related to the industry size. And the factors that affect the degree of credit risk contagion in different industries are different.
In the field of applied research, based on the status of the credit risk management of the listed companies in the third industry of China's securities market and the experience of the third industry credit risk management in Europe and America and other countries, this paper discusses the management of the credit risk of the third industry from the three aspects of the credit risk management system, the credit risk management technology and the credit risk management process. Innovation strategy.

【学位授予单位】：湖南大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.51;F719

【参考文献】