指数基金与金融市场间风险溢出效应探析

Research on the Risk Spillover Effect Between Index Fund and Financial Market

随着我国金融市场的不断完善,各子市场之间的联系越来越紧密,但是由于监管机制的不成熟,导致金融系统内部容易滋生风险且发生风险传染。因此研究我国指数基金与金融市场间的风险溢出具有深远意义。文章基于GARCH-CoVaR模型,以2009年到2019年为研究区间,从2009年9月30日之前成立的13支跟踪沪深300指数的指数基金中,选取了两支主动型指数基金和两支被动型指数基金为样本,并选择了一支传统的股票型基金作为对照,研究了我国指数基金和上证市场之间的风险溢出效应,发现指数基金风险水平较低且与传统型基金具有不同的风险特征,且指数基金对上证市场存在负的风险溢出效应,指数基金更易受到市场波动的影响。

Nowadays,the idea of passive investment is accepted by more and more investors.In recent years,China's index funds have developed rapidly.From the first introduction of index funds in 1999 to 2019,the scale of index financial products has reached 1.17 trillion yuan.With the continuous improvement of China's financial market,the relationship between the sub markets is more and more close.However,due to the immaturity of the regulatory mechanism,it is easy to breed risks and risk contagion in the financial system.Therefore,it is of great significance to study the Risk Spillover between index fund and financial market.Based on GARCH CoVaR model,this paper selects two active index funds and two passive index funds from 13 index funds established before September 30,2009 to track the Shanghai and Shenzhen 300 index,and selects a traditional stock fund as a comparison to study the risk spillover effect between China's index fund and Shanghai stock market It should be found that the risk level of index fund is low and has different risk characteristics from traditional fund,and index fund has negative risk spillover effect on Shanghai stock market,so index fund is more vulnerable to market volatility.