基于格兰杰因果网络的中美贸易战对上证行业冲击的研究

The impact of trade war on Shanghai stock exchange industry based on Granger causality network

中美贸易战对行业冲击是普遍关注的问题,本文选取2016年8月—2019年10月的上证行业指数,构建了格兰杰因果关系网络,然后结合事件分析法对风险传播模型的参数进行估计,最后利用蒙特卡罗算法模拟行业受到贸易战冲击后金融风险传播情况,并计算贸易战发生前后的上证股市金融网络风险传播的基本再生数.研究发现:第一,贸易战明显改变了上证行业关系结构,行业指数之间联系变得更为紧密;第二,贸易战发生初期,受美国加征关税影响,上证股市感染节点数量迅速增加,并且感染规模会在第10—15个交易日内达到峰值,感染节点数量大约在第25个交易日后开始趋于平缓,市场逐渐恢复;第三,基本再生数计算结果表明,上证股市在贸易战发生初期金融风险传播较快,上证股市容易产生“同涨同跌”的现象.

The impact of the China-US trade war on the industry is a common concern.Industries in the stock market have a high degree of correlation that the drastic fluctuation of stock prices of one industry may cause related industry stock price fluctuating,and even may influence the whole financial market through chain reaction.Therefore,it is helpful for us to understand the impact of the China-Us trade war on Shanghai stock market and the internal relations among the different industry sectors by analyzing how the financial shock spreads in the stock market.However,there are still several essential problems to be solved.First,previous work mainly employed the mean field theory to study the diffusion of financial crisis in the stock market.Although this method can reflect the diffusion of financial crisis in the stock market as a whole,it is not accurate enough to explain the relationship among industry sectors.Second,the previous work mainly used numerical simulations to study the dynamic properties of the spread model,thus there is necessity to demonstrate whether numerical simulations can reflect the real situation of stock market.To solve these two problems,this paper proposes a method combining parameter estimation techniques and the Monte Carlo simulation algorithm based on the disease spreading model.By using this method,we select the Shanghai stock exchange industry indexes from 2016 to 2019,construct the Granger causality network,estimate the parameters of the risk spreading model using the event study methodology,and finally simulate the diffusion of financial shocks.The results show that:firstly,the trade war has significantly changed the structure of Shanghai stock exchange industries,and industry indexes have become more closely related.Secondly,after the trade war,the financial shock will cause the number of infected nodes in Shanghai stock market increasing rapidly in the initial stage,and the scale of infection will reach the peak within the 10th to 15th trading days.The number of susceptible infections begins to slow down on about the 25th trading day,which means that the infection caused by financial shock has ended and the market is gradually recovering.Thirdly,the calculation results of the basic regeneration number show that the risk caused by financial shock is easy to spread in the Shanghai stock market after the trade war,and the phenomenon of"simultaneously rise and fall"of Shanghai stock market easily emerges.