摘要
信息透明度和传递速度的不断提高,导致各行业之间的联动性不断加强。危机爆发时期,风险在不同市场之间的传播变得更加容易。利用相关性检验、Granger因果关系检验、DCC-GARCH模型进行实证分析,指出我国十大行业间存在显著的风险传染效应,其中公用行业与大多数行业存在双向风险传染效应,医药行业则为风险的主要接受方。
The information transparency and transmission speed is improved continuously,which causes the linkage between various industries being strengthened. During the crisis,the spread of risk between different markets became easier. The empirical analysis is carried out using the correlation test,the Granger causality test and the DCC-GARCH model. It is pointed out that there is a significant risk contagion effect among the ten major industries in China,among which,there is a two-way risk contagion effect between the public sector and most industries,and the pharmaceutical industry is the main recipient of the risk.
出处
《沈阳工业大学学报（社会科学版）》
2018年第1期38-45,共8页
Journal of Shenyang University of Technology(Social Sciences)
基金
教育部人文社会科学基金项目(16YJC790017)
