债务网络、投资者行为与传染性风险：来自中国银行业与房地产业的研究发现

Debt network,investor behavior and risk of contagion: Evidence from Chinese banking sector and real estate industry

现有研究表明,金融行业与其他产业间的关系日趋紧密且复杂,风险在金融系统与其他产业间的传播机理日益受到关注.利用中国银行业和房地产业间的传染性风险测度结果,分别检验了行业间传染性风险的两大诱因:债务网络和投资者行为.结果表明,债务网络是传染性风险的主要诱因,在控制了债务关系后,行业间传染性风险显著降低;同时投资者行为对风险传染发生的概率有显著影响,尤其当投资者和公司之间的信息不对称现象较为严重时,外部的负向冲击(使投资者形成对相关市场负面预期的冲击)会导致传染性风险发生的概率增大.研究结果不仅对相关理论进行了验证和补充,同时也提供了有益的政策建议,以帮助更加有效地监管行业间传染性风险.

This paper focuses on providing interpretations for the cause of the contagion risk among Chinese banking and real estate industries. We test the cause of the contagion risk from two perspectives： the debt net- work and investor behavior. The resuhs indicate that debt connection is the main inducement of contagion risk, but the behavior of investors can also increase the possibility of risk, especially in the situation of severe asymmetric information between investors and companies, even no fundamental changes results, a series of policies and advices are suggested in this paper to strengthen the inter tagion management and regulate the financial market. exist. Based on the industry risk of con-