海南自由贸易港金融风险溢出网络分析——基于海南上市企业的实证研究

An Analysis of Financial Risk Spillover Network in Hainan Free Trade Port:An Empirical Study of Listed Enterprises in Hainan

本文以海南自由贸易港上市企业为研究对象,使用复杂网络的方法对金融风险溢出的结构性特征进行了研究,并从动态的视角使用SIR模型进行风险传染模拟研究。实证结果发现,次贷危机、中国股市异常波动及新冠疫情暴发期间,网络均较平静时期呈现更高的聚集特征,即企业间金融风险溢出的相关性有所上升。随时间推移,单个企业在风险溢出中的地位并非一成不变,而是交替成为系统重要性企业。此外,根据模拟结果发现,海南上市企业网络中具有系统重要性的企业若出现金融风险,更有可能在市场中快速扩散并造成大规模的风险传染,使得市场稳定受到冲击。为了维护海南自由贸易港的金融稳定与金融安全,除了关注金融机构,还应关注企业间的金融风险溢出,识别、早期预警与防范金融风险,因时制宜地做好风险管理。

With the listed enterprises in Hainan Free Trade Port as the research object,this paper uses complex networks to study the structural characteristics of financial risk spillover,and uses the SIR model to simulate the risk contagion from the dynamic perspective.The empirical results show that during the period of the subprime crisis,the abnormal fluctuation of Chinese stock market and the outbreak of COVID-19,a higher aggregation feature can be witnessed in the network than in the calm period,that is,the correlation of financial risk spillover increases between the enterprises.As time passes by,the position of individual firm in risk spillovers is not constant,but alternately becomes systemically important firms.In addition,according to the simulation results,if the systemically important enterprises in the network of listed enterprises in Hainan face financial risks,they are more likely to spread rapidly in the market and cause the large-scale risk contagion,which will impact the market stability.For the sake of maintaining the financial stability and financial security of Hainan Free Trade Port,it is supposed to not only pay attention to financial institutions,but also focus on financial risk spillovers among the enterprises.Besides,it is a must to identify,give early warning to and prevent financial risks,and conduct risk management according to the current situations.