风险共振还是风险分散?——基于尾部事件下风险结构的关联研究

Risk Co-movement or Risk Diversification?——Research on Connectedness of Risk Profile under Tail Events

本文对全球18个主要国家和地区的股票市场展开深入研究,基于最新发展的非对称断点方法对风险共振关系与风险分散关系进行准确区分,并考察极端事件下的股市间风险传染。接着,本文分别从网络密度、节点关联以及风险结构等角度,进一步剖析了全球股市间风险共振与风险分散的动态演变关系。最后,我们采用层次聚类方法,具体考察了外部冲击对全球股市风险联动层次的影响。它将有助于我们更好地加强宏观审慎管理,防范国际输入性风险。

We conduct a study on the stock markets of 18 major countries and regions. Based on the newly developed asymmetric breakpoint method, we distinguish the risk co-movement and risk diversification relationship, and investigate the risk contagion among stock markets under extreme events. Then, we further analyze the dynamic evolution of risk co-movement and risk diversification relationship from the changes of network density, node connection and risk profile. Finally, we use hierarchical clustering method to investigate the impact of external shocks on the hierarchy structure of the risk network. It will help us to improve macro-prudential management and prevent international importation risk.