中国股市在亚太地区的角色定位:基于油价冲击的风险溢出视角

The Role of the Chinese Stock Market in the Asia-Pacific Region:A Risk Spillover Perspective Based on Oil Price Shocks

国际油价波动对股票市场的影响研究一直备受关注,但对亚太和中国股市的风险溢出效应研究还有待拓展。鉴于冲击类型不同,本文将日度频率的油价波动分解为供给冲击、需求冲击和风险冲击,并基于基准回归模型与动态GARCH-Copula-CoVaR模型考察三类冲击对亚太和中国股市的影响与风险溢出。回归结果表明,需求冲击和风险冲击引起的油价上涨能显著提高两地区股市的平均收益,而供给冲击对此几乎无影响。从风险溢出视角看,中国股市在亚太地区主要扮演被动接受风险传染的角色:从需求冲击看,中国股市更易受到影响,呈现出风险净溢入的角色;但从风险冲击看,中国股市并不是联动亚太股市整体波动的源头,角色较为独立。结合上下行风险视角发现,两地区股市的上行风险总是显著大于下行风险,呈现出明显的非对称特征。但与亚太股市相比,中国股市风险值的波动更为剧烈。本文认为,辨析不同成因、来源的油价冲击,前瞻性预警亚太地区的油价波动风险,对于稳定我国股市、防范金融风险以及夯实我国在亚太地区的经济治理话语权具有重要意义。

Research on the impact of international oil price volatility on the stock market has been of great interest,but the study of risk spillover effects on the Asia-Pacific and Chinese stock markets has yet to be expanded.Given the different types of shocks,this paper decomposes daily-frequency oil price volatility into supply shocks,demand shocks,and risk shocks,and examines the impacts and risk spillovers of the three types of shocks on the Asia-Pacific and Chinese stock markets based on a benchmark regression model with a dynamic GARCH-Copula-CoVaR model.The regression results show that the increase in oil prices caused by demand and risk shocks significantly increases the average return of stock markets in both regions,while supply shocks have almost no effect on this.From a risk spillover perspective,the Chinese stock market mainly plays the role of passive recipient of risk contagion in the Asia-Pacific region:from the perspective of demand shocks,the Chinese stock market is more susceptible,showing a net risk spillover into the role;while in terms of risk shocks,China's stock market is not a source of overall volatility linking Asia-Pacific equities,with a more independent role.Combining the upside and downside risk perspectives reveals that the upside risk of the stock markets in both regions is always significantly larger than the downside risk,showing a clear asymmetric feature.However,the volatility in the value-at-risk of Chinese equities has been more dramatic than that of Asia-Pacific equities.