全球股市的依存结构与风险传染研究

The Dependence Structure and Risk Contagion of Global Stock Markets

为全面刻画全球股市极端波动风险的跨区域传染效应及其传染路径,本文结合滚动窗口技术构建了高维动态R-Vine Copula模型,分析全球28个股市在2003—2020年的动态相依结构演化及其系统性风险溢出效应。结论表明,全球股市相依结构分布呈明显的洲际聚集特征,即亚太区域-欧洲区域-美洲区域。中国香港、法国和美国股市分别为亚太、欧洲和美洲的中心枢纽。新加坡和荷兰股市起到了联结亚太区域和欧洲区域的中介桥梁作用。2008年金融危机和2020年新冠肺炎疫情危机的冲击均未改变全球股市的总体相依结构,但导致了临时性结构突变,并提升了全球系统性风险溢出水平。新冠肺炎疫情导致欧美区域股市间的系统性风险水平超过了金融危机期间的影响,而金融危机导致亚太区域股市间的系统性风险溢出水平则明显超过了新冠肺炎疫情的影响。在2008年和2020年的两次危机中,沪深股市主要面临中国香港股市的系统性风险溢入。

In order to comprehensively describe the cross regional contagion effects and contagion paths of extreme volatility risk in global stock markets,this paper constructs a high-dimensional dynamic R-vine copula model with rolling window technology to analyze the dynamic dependence structures evolution and systemic risk spillover effects of 28 global stock markets from 2003 to 2020.The conclusion shows that the intercontinental clustering characteristics of the global stock markets interdependence structure are obvious:Asia-Pacific regionEuropean region-America region.The Hong Kong stock market,the French stock market,and the US stock market are the central hubs of Asia Pacific,Europe and America respectively.The Singapore stock market and the Dutch stock market act as an intermediary bridge between the Asia-Pacific region and the European region.None of the two crisis shocks(financial crisis in 2008 and COVID-19 crisis in 2020)has changed obviously the overall interdependent structure of the global stock markets,but they will cause temporary structural mutations and exacerbate global systemic risk spillovers.The COVID-19 has caused the level of systemic risk in the European and American stock markets to exceed the impacts during the financial crisis.The financial crisis has caused the level of systemic risk spillovers among the stock markets in the Asia-Pacific region to significantly exceed the impacts of COVID-19.In the two crises,the Shanghai and Shenzhen stock markets mainly faced the systemic risk spillover from Hong Kong stock market.