比较“金砖五国”股票市场的系统重要性:基于危机传染的证据

Comparison on the Systemic Importance of BRICS's Stock Markets:The Evidence of Systemic Distress Contagion

本文提出并运用"SA-ΓCo Va R"分析,在全球经济环境处于危机期和稳定期两种情景下,从系统性危机传染强度的视角,比较了"金砖五国"股票市场的系统重要性。结果发现:(1)在危机期,金砖成员国市场的系统重要性无显著差异,但在稳定期,中国股市具有最高的系统重要性,即中国股市在稳定期对外围市场组合的风险影响最大;(2)上述结果不会因外围市场组合是金砖市场组合还是成熟市场组合而改变。因此,可以认为中国股市在稳定期具有最高的系统重要性。

A framework called SA-FCoVaR is developed to investigate the systemic importance of BRICS＇s stock mar- kets from the prospect of distress contagion strength. Against the background of distress and steadiness of global stock mar- kets, the following results are presented： （1） during the distress period, the systemic importance among the markets of BRICS are not significantly different; however, during the steady period, China＇s stock market is the most systemically important, which implies that China＇s stock market produces the most impact on the portfolios of other markets; （2） the above results are robust no matter the portfolio consists of other BRICS markets or developed markets. The results imply that China＇s stock market is the most systemically important one during the steady period.