资本市场系统性风险的跨市场传导及防范研究

Research on the Cross-market Transmission and Prevention of Systematic Risk in Capital Markets

基于2006年9月1日至2017年8月1的数据,综合采用复杂网络与DCC-GARCH模型,探讨国内外极端风险事件(美国次贷危机与中国2015股市异常波动)背景下系统性金融风险的跨境、跨市场风险传导效应。实证结果表明,金融市场间联动性有逐渐增强的趋势,且系统性金融风险的跨市场传导效应显现出极强的时变性,极端风险的发生往往伴随着跨境、跨市场联动性的大幅增强。因此,建议监管部门根据风险的时变特征与空间传导路径灵活采取相应策略防范系统性风险的传导与扩散。

Relying on data from September 1,2006 to August 1,2017, this paper utilized complex networks and the dynamic conditional correlation generalized autoregressive conditional heteroskedasticity （DCC- GARCH ） model to explore the trans- boundary and trans- market transmission effects of systemic market risks. These risks occurred in the context of extreme e- vents ,in both domestic and international markets （e. g. ,the U. S. subprime crisis and the abnor- mal fluctuations in China＇s stock market in 2015 ）. The empirical results demonstrate the follow- ing： the linkages between financial markets are gradually increasing;the trans-market transmis- sion effects of systemic market risks show strong time-variation;and the occurrence of extreme risk events often accompanies large increases in trans- boundary and trans -market linkages. Therefore, in order to prevent the transmission and spread of systemic risk, it is recommended that regulatory departments adopt flexible strategies that take into consideration the time- varying characteristics and transmission paths of risk.