股市风险时变双向溢出效应研究——以“一带一路”11个沿线国家为例

Research on Time-Varying Two-way Spillover Effect of Stock Market Risk——Take Eleven Countries along the“One Belt and One Read”as an example

本文利用广义方差分解模型和有向网络刻画"一带一路"11个沿线国家的股票市场在2006年1月至2021年6月期间的风险溢出网络结构特征,研究发现:第一,整个样本期间,股市风险溢出62.76%是跨部门溢出造成的,"一带一路"沿线国家股市高度相互关联,并依赖于极端经济事件。第二,滚动窗口估计的动态结果表明,"一带一路"倡议提出后跨部门风险溢出水平整体处于高位运行。第三,近年来中国股市的风险溢出与吸收水平有上升趋势。在进一步增进"一带一路"贸易合作的进程中,需关注外部股票市场的风险冲击。

Using the generalized variance decomposition model and directed network to characterize the structural characteristics of the risk spillover network of the stock markets of the 11 countries along the“Belt and Road”from January 2006 to June 2021,the study found that:First,throughout the sample period,62.76%of stock market risk spillovers are caused by cross-sectoral spillovers.The stock markets of countries along the“Belt and Road”are highly interconnected and rely on extreme economic events.Second,the dynamic results of the rolling window estimation show that the overall level of cross-sectoral risk spillovers after the“Belt and Road”initiative was put forward has been operating at a high level.Third,the level of risk spillover and absorption in China’s stock market has been on the rise in recent years.In the process of further enhancing the“Belt and Road”trade cooperation,it is necessary to pay attention to the risk impact of the external stock market.