股市互联、尾部风险传染与系统重要性市场——基于多元分位数回归模型的分析

Research on the Interconnectedness of Stock Markets Tail Risk Contagion and Systemically Important Markets——Based on the Empirical Analysis of Multivariate Quantile Regression Model

随着我国证券市场日益融入世界金融体系,国际证券市场受到的极端冲击将会显著地传染到我国股票市场,但现有研究并不能有效地识别对A股具有系统重要性的市场。本文基于White et al.(2015)提出的多元分位数回归模型构建适用于分析证券市场的新Co Va R模型框架,并以此测算了中国加入WTO以来9个代表性境外证券市场对我国A股市场的尾部风险传染大小,对比了它们的系统重要性排名。研究发现,中国香港和美国对我国A股市场具有最高的系统重要性,而英国和德国的系统重要性排名最低。近年来,对外开放政策并没有实质提升我国金融市场的国际化水平,国际极端冲击对中国A股市场的风险传染还非常有限,其中,亚太区域因素的影响显著大于国际因素。这些结论对于我国准确监测和识别国外输入型的系统性风险,以及加强与欧洲发达国家跨区域的金融合作(如"沪伦通")提供了直接的经验证据。

As China＇s stock market is increasingly integrated into the global financial system, the extreme shoek stemming from international markets significantly affect the A share market. However, Existing studies have not quantified the size of risk spillover. In this paper, we construct a new framework to study CoVaR theory of stock markets, which is based on multivariate quantile regression. Moreover, we calculate the contagion intensity of tail risk from nine representative global security markets to China＇s stock market after joining the WTO. Furthermore, we compared the systemic importance ranking among them. The results show that Hong Kong and American stock markets have the most systemic importance on China＇s A share market, while Britain and Germany stock markets rank the bottom two. The globalization degree of China＇s stock market is still at a low level; the spillover effect from the international market to China＇s stock market is relatively limited. Moreover, the Chinese stock market is greatly influenced by regional factors more than international factors. These conclusions provide direct theoretical basis for accu- rately monitoring imported systemic risk from international markets, and strengthening cross-region multilateral financial cooperation （such as Shanghai-London Stock Connect program） with western developed countries.