A、B股之间的风险溢出效应分析——基于CoVaR方法的实证研究

Risk Spillover Effects Between Chinese A and B Stock——A research based on the CoVaR method

运用条件风险价值CoVaR方法,结合分位数回归技术,对我国A、B股之间在2001年2月23日前、2001年2月24日至2005年4月29日间和2005年4月30日后这三个阶段的风险溢出效应进行实证分析。研究结论表明:对于上证和深证市场内部而言,无论是在B股向境内投资者开放前后还是在股权分置改革前后,上证A、B股之间和深证A、B股之间均存在正的双向风险溢出效应,并且两个市场内部的A股对B股的风险溢出效应要明显地大于B股对A股的溢出效应;而对于上证和深证市场之间而言,在股权分置改革之前,上证A股和深证A股之间的风险溢出效应要明显大于两市场B股之间的溢出效应,而在股权分置改革之后则刚好相反。同时,在三个不同的阶段,上证A股对深证B股和深证A股对上证B股的风险溢出效应均大于深证B股对上证A股和上证B股对深证A股的溢出效应。

This paper applies the Conditional Value at Risk(CoVaR)method,accompanying the quantile regression technology,to analyze the risk spillover effects between Chinese A and B stocks at the different periods,that is, before February 23rd,2001,during February 24th,2001 and April 29th,2005,and after April 30th,2005,respectively.Empirical results show that on the one hand,for internal sections of Chinese stock markets,A and B stocks of Shanghai and Shenzhen Stock Exchange Market both exist positive and two-way risk spillover effects,and the risk spillover effects from A to B stock is much greater than that from B to A.On the other hand,between Shanghai and Shenzhen Stock Exchange Markets,the risk spillover effects between A stock of Shanghai and Shenzhen stock markets are significantly greater than that of B stocks of these two markets before April 29th,2005.While after April 30th, 2005,this comparison relationship is just opposite.At all these three periods,the risk spillover effects from A stock of Shanghai to B stock of Shenzhen and from A stock of Shenzhen to B stock of Shanghai are both greater than that from B stocks to A stocks of these two markets,respectively.