有向网络视角下我国上市公司关联性与系统性风险研究

发布时间：2018-01-19 04:13

本文关键词： 网络关联性系统性风险　出处：《内蒙古大学》2017年硕士论文　论文类型：学位论文

【摘要】：国际实践表明,系统性风险具有毁灭性破坏。2008年金融危机后,系统性金融风险受到各国学术界、业界和监管当局的高度关注。学术界对系统性风险的认识从"太大而不能倒"转向"关联度太广而不能倒"。随之宏观审慎监管方式成为金融监管改革的核心。宏观审慎监管的前提条件是对系统风险清晰的认识和度量。实践表明,贯穿所有金融系统性事件的一个共同威胁是金融系统的参与者之间形成的错综复杂的关联与互动。过度关联会使得负面冲击在各行业之间、不同行业之间进行传导扩散,导致破坏范围扩大、传染程度显著提高。因此,加强整个金融体系各行业间关联性研究,识别关联性较强的行业,对其加强监管,是有效降低金融系统性风险发生的前提条件。本文选取我国五大行业共计166家上市公司股票日交易价格数据,构建上市公司之间的有向加权关联网络。通过网络分析法,全面分析上市公司金融网络的总体关联性以及行业内和行业间的关联特征,分析其关联性时变特征。为我国构建宏观审慎监管框架以及金融改革与完善提供依据和支撑。实证结果表明:首先,我国上市公司各行业有向加权网络具有"小世界"与"无标度"等复杂网络特征。其次,在极端情况下,我国上市公司各行业总体关联性呈现出显著的上升趋势。同时,各行业内部之间的相互联动作用不明显,跨行业间的相互联动成为风险的主要传染方式。在危机期间,房地产业的系统性风险最大,且对其他行业造成的风险传染影响显著增强,资本市场服务业在危机期间是较为敏感的行业、对风险传染反应较为迅速。
[Abstract]:International practice shows that systemic risk is destructive. After the financial crisis in 2008, systemic financial risk has been subjected to the academic circles of various countries. High level of concern from industry and regulatory authorities. Academic perception of systemic risk has shifted from "too big to fail" to "too relevant to fail" Subsequently, macro-prudential supervision has become the core of financial regulatory reform. The prerequisite of macro-prudential supervision is a clear understanding and measurement of systemic risk. A common threat that permeates all financial systemic events is the intricate interlinkages and interactions between participants in the financial system. Excessive linkages can lead to negative shocks across industries. Conduct and spread between different industries, leading to the expansion of the scope of destruction, the degree of contagion significantly increased. Therefore, strengthen the entire financial system between industries relevance research, identify the strong correlation of industries, and strengthen the supervision of them. This paper selects the daily trading price data of 166 listed companies in five industries in China. Through the network analysis, the overall relevance of the financial network of listed companies and the characteristics of intra-industry and inter-industry association are analyzed. This paper analyzes the time-varying characteristics of its relevance and provides the basis and support for the construction of macro-prudential regulatory framework and the financial reform and improvement in China. The empirical results show that: first of all. The directed weighted networks of listed companies in China have complex network characteristics such as "small world" and "no scale". Secondly, in extreme cases. The overall correlation of listed companies in China shows a significant upward trend. At the same time, the interaction between the industries is not obvious. Cross-industry interaction has become the main mode of risk contagion. During the crisis, the systemic risk of real estate industry is the biggest, and the impact of risk contagion on other industries is significantly enhanced. Capital market service industry is a more sensitive industry during the crisis, more rapid response to risk contagion.
【学位授予单位】：内蒙古大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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