基于协高阶矩视角的沪港股市风险传染分析

Risk contagion between Shanghai and Hong Kong stock market: A perspective of higher order co-moments

金融风险传染(financial risk contagion)不仅是资产配置和套期保值决策中应该考虑的一个重要因素,而且直接关系着一国乃至全球金融体系的安全与稳定.运用协高阶矩(协偏度、协波动率、协峰度等)风险传染判定方法,实证检验了沪港通实施前后上海和香港两地股票市场间的风险传染状况.研究结果表明,沪港通政策实施后,上海股市向香港股市的第一类协偏度(均值→波动率)、协波动率、经调整的相关系数、协峰度等的风险传染统计量值依次变大,同样依据风险传染统计量值的大小,香港股市对上海股市的风险传染途径依次为协四阶矩(协波动率、协峰度)、第一类协偏度和经调整的相关系数,协高阶矩成为沪港股市间双向风险传染的主要途径;因资本净流动数额和投资者教育等因素,上海股市对香港市场的风险传染效应更强.

Financial risk contagion is not only an important factor that should be considered in asset allocation and hedging decisions,but also directly related to the security and stability of the financial system of a country or even the world. Using risk contagion tests of higher order co-moments（ co-skewness,co-volatility and cokurtosis）,this paper analyzes the financial risk contagion between Shanghai and Hong Kong stock markets before and after the implementation of Shanghai-Hong Kong Stock Connect program empirically. The main results show that after the implementation of Shanghai-Hong Kong Stock Connect program,the statistics of risk contagion from Shanghai to Hong Kong stock market increase according to the order of the first class co-skewness（ from mean to volatility）,co-volatility,adjusted correlation and co-kurtosis. Similarly,the channels of contagion from Hong Kong to Shanghai stock market are fourth order co-moments（ co-volatility and co-kurtosis）,the first class co-skewness and adjusted correlation in order according to the value of risk contagion statistics. Generally,higher order co-moments have become the main risk contagion channels between Shanghai and Hong Kong stock market. Due to the net capital flows,investor education and so on,the risk contagion effect from Shanghai to Hong Kong stock market is stronger.