危机时期中国股市跨行业风险传染效应

Cross-Industry Risk Contagion Effect in China’s Stock Market During Crises

在危机频发背景下,本文应用R-Vine Copula和溢出指数模型,结合金融危机､欧债危机､新冠疫情等危机事件,从风险关联和风险溢出双重视角考察危机时期中国股市跨行业风险传染效应.研究发现:危机时期中国股市出现跨行业传染现象,行业关联网络和溢出网络变迁具有“事件驱动”特征.在危机时期,工业始终处于关联网络的中心,可选消费(简称可选)和材料在各个时期与工业紧密相连,三者是主要的风险驱动行业;能源､电信､医药和金融始终处于关联网络的边缘位置,是主要的风险接受行业.研究结果为投资者微观资产配置､监管部门宏观审慎管理和风险防范提供有益参考.

In the context of frequent crisis episodes,the R-Vine Copula and the spillover index model are applied to study the cross-industry risk contagion effect in China’s stock market from the dual perspective of risk linkage and risk spillover through combing major crises such as the financial crisis,the European sovereign debt crisis,and the COVID-19 epidemic.The results show that cross-industry contagion occurs in China’s stock market during crises.The changes of industry linkage network and spillover network are characterized as being event-driven.During crises,industrial is always at the center of the linkage network with consumer discretionary and materials being closely linked to industrial at all times.They are the main risk-driven industries.Energy,telecommunication,medicine,and finance are always at the margin of the linkage network as the major risk-accepting industries.The results provide meaningful references for investors’micro-asset allocation and regulatory authorities’macro-prudential management and risk prevention.