重大风险事件下中美股票市场风险溢出效应研究

Research on Risk Spillover Effects in Chinese and American Stock Markets under Major Risk Events

金融全球化背景下,重大风险事件所具有的突发性与不确定性给世界金融市场的稳定带来了极大的挑战,各国政府当局和学术界高度关注金融风险的快速传导和跨国、跨市场的溢出问题。本文基于溢出指数模型,从静态和动态两个层面定量研究中美股票市场风险溢出效应的动态趋势以及发生重大风险事件时风险溢出强度和传导方向的动态演变过程。研究发现,中美股票市场之间存在显著的风险溢出效应,美国市场是风险净溢出者,中国市场是风险溢出的净接受者;中美股市之间的风险溢出效应具有明显的时变特征,政治、经济、金融以及公共卫生等重大风险事件对股票市场溢出效应有显著增强的影响;中美股市风险溢出效应的传导方向由市场间的单向溢出转变为A股市场、中国香港市场和美国市场两两之间显著的双向溢出。因此,建议监管当局根据风险的时变特征和传导方向增强金融风险防控政策决策的全局性和前瞻性。

Against the backdrop of financial and economic globalization,the suddenness and uncertainty of major risk events pose significant challenges to the stability of global financial markets.Governments and academia around the world are highly concerned about the rapid transmission of financial risks and the issue of cross-border,cross-market spillovers.Based on the spillover index model,this paper quantitatively studies the dynamic trends of risk spillover effects in Chinese and American stock markets at both static and dynamic levels,as well as the dynamic evolution of the intensity and direction of risk spillovers when major risk events occur.The study finds that there is a significant risk spillover effect between Chinese and American stock markets,with the U.S.market being a net spillover sender and the Chinese market being a net recipient of spillovers.The risk spillover effect between the Chinese and American stock markets exhibits obvious time-varying characteristics,and major risk events such as political,economic,financial,and public health crises significantly enhance the spillover effects in stock markets.The transmission direction of risk spillover effects between Chinese and American stock markets has shifted from unidirectional spillovers to significant bidirectional spillovers between the A-share market,the Hong Kong China market,and the U.S.market.Therefore,it is recommended that regulatory authorities enhance the comprehensiveness and foresight of financial risk prevention and control policy decisions based on the time-varying characteristics and transmission directions of risks.