全球股票市场系统性风险传递网络研究

A Study on Systemic Risk Transfer Network of Global Stock Market

本文采用系统性风险度量新指标LASSO-ΔCoVaR,构建全样本时期及各极端时期全球股票市场系统性风险传递网络,考察全球股票市场系统性风险传递水平及结构特征,并着重对极端状态下的风险传递进行分析。研究发现:第一,无论风险输入水平还是风险输出水平,不同股市的动态变化趋势大体一致,但波动幅度迥然不同,且单个股市风险输出水平的波动幅度远大于风险输入水平;第二,成熟经济体经济基本面恶化往往会增强其股市的系统性风险贡献,而新兴经济体则不同;第三,法国、荷兰、中国香港、德国和英国股市的风险溢出水平较高,同其他股市间的风险传递途径较多,是系统性风险传递网络中的核心节点;第四,我国股市与全球股市间的风险关联较弱,但我国股市潜在风险来源面广,同区域股市及金砖国家股市在我国股市与全球股市间的风险传递发挥重要作用。

In recent years,the achievements of China’s stock market construction have been gradually recognized by international investors.This not only promotes the further integration of China’s stock market into the global stock market,but also strengthens the risk connectedness between them.In order to gain insight into global stock market risk transfer characteristics,using weekly closing price data of 22 stock markets from 2006 to 2018,this paper builds the global stock market systemic risk transfer network based on the LASSO-ΔCoVaR index.The results show the following findings.Firstly,regardless of the level of risk input or risk output,the dynamic change trend of different stock markets is basically the same,but the volatility range is quite different.As for a single stock market,the volatility range of risk output level is much larger than that of risk input level.Secondly,the deterioration of economic fundamentals in mature economies tends to enhance the systemic risk contribution of their stock markets,but emerging economies have performed differently.Thirdly,the stock markets in France,Netherlands,Hong Kong China,Germany and the United Kingdom have high levels of risk output,and there are many ways of risk transmission to other stock markets,making them the core nodes in the systemic risk transfer network.Fourthly,the risk connectedness between China’s stock market and global stock markets is weak,but the potential risk sources of China’s stock market are wide.Meanwhile,stock markets in the BRICS countries play an important role in the risk transfer process between China’s stock market and global stock markets.The marginal contributions of this paper are as.Firstly,we construct the global stock market systemic risk transmission network within the whole time frame including each extreme period,explore the general rule of risk transmission in each extreme period,as a useful supplement to existing research.Secondly,we use LASSO-ΔCoVaR,a new index of systemic risk measurement,which can measure the risk transmission level between global stock markets under extreme conditions more accurately.