多周期视角下全球股市行业间联动性与突发事件冲击影响——一个基于复杂网络的实证研究

Co-movement among industries in global stock market and shocks of emergencies from a multi-periods perspective:An empirical research based on complex networks

准确把握全球股票市场中行业之间的联动特征和重大突发事件对其可能造成的冲击,于国际投资者而言意义重要.本文以近30年行业股指收益率为样本,使用时域和频域Granger因果模型,构建静态和动态复杂关联网络并测算其联动性,分别在全期、短期和长期视角下考察行业接收和发送联动信息的水平,以及其遭受突发事件冲击后的反应.实证结果表明:行业整体联动性全期下较短期和长期下更强,意味着无明确操作期限的投资者面临的市场风险更大;一些短期和长期下的联动信息主要接收和发送行业并不存在于全期下,表明仅依照全期下的联动特征制定决策会让短期和长期投资者构建投资组合时遗漏掉一些关键行业;伴有次贷危机深远影响的欧债危机事件期间长期下的行业整体联动性远强于全期和短期下,自身影响占据主导作用的其余事件期间三个周期下的联动性则基本持平,说明叠加了前序事件的那些突发事件的长期冲击更大,而独立事件的全期、短期和长期冲击之间相差无几;新冠疫情、次贷危机和欧债危机期间同一行业的联动信息发送和接收的强度在三个周期下不尽相同,证实严重影响营商环境的事件对行业接收和发送联动信息能力的冲击在全期、短期和长期下存在差异,其余事件的作用则差别不大.

Accurately describing the co-movement among industries in global stock market and the shocks of major emergencies on it are significant for international investors.We choose stock index returns of all industries in the past 30 years until 2021 as empirical data,and use the timedomain and frequency-domain Granger causal models to construct static and dynamic complex connectedness networks and calculate their co-movement indicators.We investigate the receiving and sending co-movement information level of industries,as well as their response to shocks of major emergencies,at the perspective of full-period,short-period and long-period.The empirical results show that(i)the overall co-movement for all industries at full-period is stronger than that at short-period and long-period,this means that the investors without a specific investment period face high market risk;(ii)the receiving or sending co-movement information level of some industries exceeds the average at short-period or long-period but not full-period,it indicates that making decisions only according to the co-movement characteristics at full-period will make shortperiod and long-period investors ignore some key industries when constructing their portfolio;(iii)during the European sovereign debt crisis with the lasting impact of the Subprime crisis,the overall co-movement for all industries at long-period is much stronger than that at full-period and short-period,but during the rest of the major emergencies dominated by its own influence,they are basically the same.This illustrates that during a major emergency,if there is additional impact from the previous major emergency in addition to itself,then its long-period shocks is greater than full-period and short-period shocks,while there is almost no difference between fullperiod,short-period and long-period shocks for independent major emergencies;(iv)during the COVID-19 epidemic,the Subprime crisis and the European debt crisis,the sending and receiving co-movement information intensity of an industry at one period are different from that at other two periods,but they are basically the same during the rest of the major emergencies.It confirms that the full-period,short-period and long-period shocks on the ability to receive and send comovement information of an industry are different for the major emergencies that seriously affect the business environment,while there is almost no difference between these three kinds of shocks for the other major emergencies.