重大风险事件下全球股票市场风险传染效应研究

Research on the Risk Contagion Effect of Global Stock Market Under Major Risk Events

文章利用前沿的Elastic Net-VAR模型,考察在不同重大风险事件背景下全球股票市场的风险传染效应,并结合正交分解法和MQ贡献度指标,分析比较实体经济、市场预期、经济政策与跨市场传染等因素对全球股票市场风险传染效应的异质性影响。研究结论如下:在重大风险事件的冲击下,全球股票市场风险网络关联度更紧密,风险传染的地理集聚效应更显著,同时,资本开放水平较高的发达市场对新兴市场的风险输出能力明显增强;全球股票市场风险传染总效应在新冠疫情时期达到历史峰值,且全球股票市场隐含波动性对该峰值的形成具有前瞻性;实体经济因素在国际金融危机时期和欧债危机时期贡献度最高,市场预期因素在正常时期和中美贸易摩擦时期影响最大,经济政策与跨市场传染因素在新冠疫情时期影响最大。

This paper uses the Elastic Net-VAR model to investigate the risk contagion effect of global stock market under different major risk events,and combines the Orthogonal Decomposition method and the MQ contribution index to analyze and compare the heterogeneous effects of real economy,market expectation,economic policy and cross-market contagion on the risk contagion effect of global stock market.The research conclusions are as follows:the risk network of global stock market is more closely related and the geographic clustering effect of risk contagion is more significant under the impact of major risk events,and the developed markets with higher level of capital openness significantly enhance their ability to export risks to the emerging markets at the same time;the total effect of risk contagion of global stock market reached a historical peak during the COVID-19 pandemic period,and the implied volatility of global stock market has a forward-looking effect on the formation of this peak;the factor of real economy contributes the most during the international financial crisis period and the European debt crisis period,the factor of market expectation has the greatest impact during the normal period and the Sino-US trade friction period,and the factors of economic policy and cross-market contagion exert the greatest effect during the COVID-19 pandemic period.