“一带一路”沿线主要国家股指市场风险传染效应

The risk contagion effect of stock index market in major countries along the“Belt and Road”

目的研究“一带一路”沿线主要国家金融市场间的相关结构并度量其传染风险。方法选取中国和其他4个沿线主要国家的股指市场收益率数据,构建M-Copula函数刻画股指市场间的相关结构,运用Monte Carlo模拟方法度量不同资产组合的风险价值。结果股指市场间具有较强的下尾相关性和不对称性。相对于中国、印度和新加坡市场,日本市场的风险较大,俄罗斯市场的风险较小。在同一置信水平下,选择资产组合会降低投资者的投资风险。结论M-Copula函数模型能较好地描述股指市场的相关结构,并在投资组合决策时为投资者提供参考。

Purposes—To investigate the related structure and measure risks among multiple financial markets along the"Belt and Road".Methods—Five stock index are selected from China and other four major countries along the route.The M-Copula function is constructed to depict the relevant structure between the stock index markets.Finally the Monte Carlo simulation method is used to measure the value-at-risk of different asset portfolios.Result—The stock index markets have strong lower tail correlation and asymmetry.Compared with China,India and Singapore market,the risk in Japanese market is higher,but is lower in Russian.In addition,under the same confidence level,the choice of asset portfolio will reduce the investment risk of investors.Conclusion—The M-Copula function model can describe the relevant structure of the stock index market and provide a reference in portfolio decision.