分层制度背景下新三板市场风险溢出效应研究

Research on Risk Spillover Effects of the New OTC Market under the Background of Stratification System

在新三板市场发展日渐成熟的背景下,探讨其与沪深股市之间的波动溢出效应对于完善我国金融市场的稳定性研究具有重要意义。利用分层制度前后各指数收益率数据,运用GARCH-CoVaR模型测算三板做市指数与沪深股市各指数之间的风险溢出情况。研究结果表明:新三板市场与沪深股市存在双向时变风险溢出效应,分层制度的实施显著降低了新三板市场的风险波动情况,同时减弱了其与沪深股市之间的风险溢出效应。因此,应当进一步细化新三板市场的分层,完善市场相关制度建设。

Under the background of the maturity of the New OTC Market,it is of great significance to explore its volatility spillover effect with the Shanghai and Shenzhen stock markets to improve the stability research on China＇s financial market. Using the index returns data before and after the stratification system,the GARCH-Co VaR model was used to measure the risk spillover between the three board market making index and the Shanghai and Shenzhen stock market indices. The results of the study show that there is a two-way time-varying risk spillover effect between the New OTC Market and the Shanghai and Shenzhen stock markets. The implementation of a stratification system has significantly reduced the risk fluctuations in the New OTC Market,and at the same time weakened the risk spillover effect between it and Shanghai and Shenzhen stock markets. Therefore,we should further refine the stratification of the New OTC Market and improve the construction of market-related systems.