股灾背景下中美股市风险溢出的结构转换研究

发布时间：2018-04-04 01:20

  本文选题：风险溢出　切入点：CoVaR方法　出处：《运筹与管理》2017年02期

【摘要】：选取中美股票市场的上证综指、恒生指数和标普500指数作为研究对象进行风险溢出效应研究,结果表明,总体而言上海市场与香港市场之间双向风险溢出效应最为显著,香港市场和美国市场次之,而上海市场与美国市场之间的双向风险溢出效应最不显著;从风险溢出方向与强度方面分析,无论牛熊市,香港市场对上海市场在极端风险时刻的风险溢出要显著强于上海市场对香港市场的溢出,而香港市场与美国市场之间在牛市行情下双向风险溢出效应相对均衡,在熊市行情下香港对美国的风险溢出相对更大,与常理不一致的结果是上海市场在牛市期间对香港市场的风险溢出效应要大于熊市,围绕这一点进一步采用Chi-plot相关图进行分析表明中国市场还未达到"中国打喷嚏,世界经济感冒"的状态;从风险溢出效应的动态趋势分析看出两个牛市阶段各市场的风险溢出呈现不同特征。美国市场对中国市场的风险溢出效应总体平稳,而中国市场对美国市场的风险溢出效应存在一定差异,在低分位数水平相差较大,随分位数水平提高两个牛市阶段的风险溢出趋于一致。但上海市场对香港市场的风险溢出随时间变化在牛市阶段逐步增强,而香港市场对上海市场的风险溢出则逐渐下降。
[Abstract]:The risk spillover effects of Shanghai Composite Index, Hang Seng Index and S & P 500 index are studied. The results show that the two-way risk spillover effect between Shanghai market and Hong Kong market is the most significant.The two-way risk spillover effect between the Shanghai market and the US market is the least significant. From the risk spillover direction and intensity analysis, regardless of bull bear market,The risk spillover from the Hong Kong market to the Shanghai market at the extreme risk moment is significantly stronger than that from the Shanghai market to the Hong Kong market, and the two-way risk spillover effect between the Hong Kong market and the US market in the bull market is relatively balanced.The risk spillover from Hong Kong to the United States is relatively large in a bear market. The result is that the risk spillover effect of the Shanghai market on the Hong Kong market during the bull market is greater than that of the bear market.Around this point further use Chi-plot correlation chart to carry on the analysis to show that the Chinese market has not yet reached "China sneezes, the world economy cold" the state;From the dynamic trend analysis of risk spillover effect, it can be seen that the risk spillover of each market shows different characteristics in the two bull market stages.The risk spillover effect of the American market on the Chinese market is generally stable, while the risk spillover effect of the Chinese market on the US market is different to a certain extent, and there is a big difference in the low quantile level of the risk spillover effect of the US market.The risk spillover tends to be consistent with the increase of quantile level in the two bull market stages.However, risk spillovers from Shanghai to Hong Kong gradually increased over time during the bull period, while risk spillover from Hong Kong to Shanghai gradually declined.
【作者单位】： 广东金融学院;
【基金】：教育部人文社科青年项目“牛熊转换下的中美股市风险溢出效应异化研究”(14YJC790141) 广东省高等学校优秀青年教师培养计划项目“非对称波动建模及其在亚太股市风险管理中的应用研究”(YQ201402) 国家自然科学基金面上项目“全球价值链下中国服务业国际竞争力研究:基于贸易增加值的分析”(71573057)
【分类号】：F831.51
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本文编号：1707747