摘要
金融系统性风险的度量、预测和监管是金融业中极为重要的问题。本文利用我国股票市场数据,使用主成分分析方法计算主成分方差贡献率,从而构建吸收率作为系统性风险度量的指标,用以度量我国各行业之间的风险关联程度随时间变化的情况。同时,本文探究了吸收率走势与股票市场波动的格兰杰因果关系,并且估测了根据吸收率对股市未来的预测程度制定相应的投资策略的可行性和有效性。
The measurement, forecast and supervision of financial systemic risk is an important issue for the financial sector. Based on China＇ s stock market data, and using the principle component analysis method to calculate the principle component variance contribution ratio, this paper established the absorption ratio as a parameter for measuring systemic risk, and exhibited the trend of change of risk correlation among various industries in China. Moreover, it explored the relationship between absorption ratio and stock market volatility by conducting Granger causality tests, and assessed the feasibility and effectiveness of generating investment strategy based on the ampli- tude of variation of absorption ratio.
作者
周桦
庞家任
王子悦
ZHOU Hua;PANG Jiaren;WANG Ziyue(Central University of Finance and Economics, School of Insurance, China Institute for Actuarial Science,Beijing 100081;Tinghua SEM,Beijing 100084;Hong Kong Baptist University, Business School, Hong Kong 999077)
出处
《保险研究》
CSSCI
北大核心
2018年第4期3-17,共15页
Insurance Studies
关键词
系统性风险
主成分分析
吸收率
systemic risk
principle component analysis
absorption ratio
