中国内地股票市场板块泡沫存在特征与传染机制——基于GSADF检验法与R-Vine Copula模型

Characteristics and Contagion Mechanism of Sector Bubbles in the Chinese Mainland Stock Market:Insights from the Generalized Sup ADF Test and R-Vine Copula Model

面对国内宏观经济下行压力和金融市场超预期等多因素挑战,我国内地股票市场易产生周期性泡沫与金融系统性风险问题。本文基于2011年9月至2023年7月我国部分股指数据,对可能存在的周期性泡沫进行存在性检验,探讨泡沫存在特征与泡沫期起止时间。构建R-Vine Copula模型识别风险传染的核心股指,建立条件结构探究传染相关性与传染机制。研究表明,样本期内股指序列均存在泡沫,情绪循环性和市场联动性是主板市场的股指泡沫的主要特征,创业板泡沫具有季节性和创新关联性。面对信息不对称挤压和羊群杀跌行为,要素之间的局部相互作用使泡沫的形成机制具有自组织性。进一步研究表明,股指风险传播强度在溢出效应影响下与连接层级成反比,呈现出动态相关性和非对称性属性。本文揭示了我国内地股票市场周期性泡沫的存在特征、形成机制和风险传播机理,为促进股票市场健康发展、构建风险监测与防范机制和探索资本市场服务实体经济效能提供了理论依据与经验支撑。

Facing challenges posed by domestic macroeconomic pressures and unpredictable financial market dynamics,Chinese mainland stock market often encounters periodic bubbles and associated financial systemic risks.This study leverages data from select Chinese stock indices spanning September 2011 to July 2023.It examines the presence of potential periodic bubbles and delves into the nature of these bubbles.Moreover,it pinpoints their respective emergence and dissipation periods.The author employs an R-Vine Copula model to pinpoint the key stock indices influencing risk contagion.The purpose is also to develop conditional frameworks to unpack the complexities of contagion correlations and underlying mechanisms.The findings indicate the ubiquitous presence of bubbles across all stock index sequences during the sampled period.Notably,emotional cycles and market interconnectedness emerge as defining traits of bubbles in the main board market.In this case,bubbles in the ChiNext board demonstrate seasonal patterns and ties to innovative activities.In the midst of informational asymmetries and herd-like selling behaviors,the intricate interplay among various components gives rise to a self-organizing bubble formation process.Additional investigations reveal an inverse relationship between the intensity of stock index risk transmission and the level of connectivity,influenced by spillover effects.It showcases both correlational shifts and asymmetrical attributes.Ultimately,this paper sheds light on the defining characteristics,developmental processes,and risk propagation mechanisms of periodic bubbles within Chinese mainland stock market.This research offers valuable theoretical insights and empirical evidences to support the sound growth of the stock market,the establishment of risk monitoring and mitigation strategies,and the exploration of capital markets effectiveness in bolstering the real economy.