沪深股市和香港股市的风险溢出效应研究——基于时变ΔCoVaR模型的分析

Research on the risk spillovers between Shanghai,Shenzhen and Hong Kong stock markets——Based on the time varyingΔCoVaR model

本文基于时变ΔCoVaR模型,对2006年11月至2018年12月间沪深股市和香港股市的尾部风险溢出效应进行了估算.研究发现:1)沪深股市与香港股市之间存在着双向风险溢出效应,且溢出效应均为正;2)香港股市对沪深股市的风险溢出效应强于沪深股市对香港股市的风险溢出效应;3)深市和香港股市之间的风险溢出效应的波动幅度大于沪市和香港股市之间的风险溢出效应的波动幅度;4)沪港通和深港通的开通并没有显著增加香港股市与沪深股市之间的双向风险外溢程度.

This paper uses theΔCoVaR approach to estimate the tail risk spillover effects between Shanghai/Shenzhen and Hong Kong stock markets from November 2006 to December 2018.The results show that:1)There exist the significantly positive spillover effects between Shanghai/Shenzhen and Hong Kong stock markets in both directions;2)The spillover effects from Hong Kong to Shanghai/Shenzhen stock market are stronger than those from Shanghai/Shenzhen to Hong Kong stock market;3)There exist more fluctuations in the spillover effects between Shenzhen and Hong Kong stock markets than those in the spillover effects between Shanghai and Hong Kong stock markets;4)After the launch of the‘Shanghai-Hong Kong Stock Connect’and‘Shenzhen-Hong Kong Stock Connect’,the spillover effects between Hong Kong and Shanghai/Shenzhen stock markets do not appear to change significantly.