中国股市抵御国际金融风险冲击的能力——基于行业与市场指数的研究

The Resistant Capability of Chinese Stock Market against the International Financial Risk Shock——Based on the Study of the Industry and Market Index

本文立足于行业与市场的交叉层面,通过构造国际金融风险指标,并采用事件分析方法和多因子GED-EGARCH-M模型,考察了我国股市抵御国际金融风险冲击的能力。结果表明:(1)能源行业对国际金融风险冲击方向的敏感性最强,抗风险能力最弱,无论国际环境朝何种方向变动,能源行业均会遭受损失。(2)随着材料、工业、可选、消费、信息行业对国际环境依赖程度的减弱,这5个行业呈现出依次增强的抗风险能力。(3)医药、电信和公用行业对国际金融风险冲击方向的敏感性最弱,在双向风险冲击下均可获利,抗风险能力最强。(4)由于沪深两市上市公司的规模结构以及市盈率等市场特征不同,呈现出沪市的抗风险能力略好于深市的现象,且全市场的表现与沪市相近。

Based upon the cross aspects of industry and market in our country, this paper examines the resistant capability of our country＇s stock market against the international financial risk, with the indicators constructed for showing up the international financial risk, as well as the method of events analysis, the model of multifactor GED-EGARCH-M has been used. The results show that：（1） with the highest sensitivity to the shock direction of the international financial risk, the energy industry which has the lowest resistant capability against the risk exposure usually losses whether the international financial condition is going better or worse;（2） the five sectors as material, industry, alternative consumption, main consumption,and information, demonstrate bigger and bigger resistant capability against the risk in sequence with their reduced dependences on the international condition;（3） with the lowest sensitivity to the shock direction of the international financial risk,the sectors as medicine, telecommunication, and public, demonstrate the highest resistant capability against the risk and can gain the profit under both kinds of risk exposure;（4） there are big differences in terms of the structure and P/E ratio of the listed companies in Shanghai and Shenzhen stock exchanges, and the market in Shanghai has been found a little better than that in Shenzhen in terms of resisting external risks. Furthermore, the whole market behaves similarly to that in Shanghai market.