RCEP背景下中日韩股票市场的联动性与风险溢出衍变

The Linkage and Risk Spillovers of China,Japan,and South Korea Stock Markets under the RCEP Background

在RCEP实施推进的背景下,从区域经济一体化引致金融一体化的视角切入对比了RCEP推进的不同阶段中日韩三国股票市场的联动情况和风险溢出情况。结果表明,三国股票市场的收益波动具有显著的杠杆效应,危机爆发时期股市间的联动性会显著提升;股市间的一体化程度正在加深,韩国是风险输入国,中国和日本是风险输出国。为了维护金融稳定,除了进一步加强宏观审慎监管,各国应协同合作,构建区域统一、协调的风险防范机制。

In the context of the implementation and promotion of RCEP,this paper compares the linkage and risk spillover situation of the stock markets of China,Japan,and South Korea in different stages of RCEP promotion from the perspective of regional economic integration leading to financial integration.The results indicate that the volatility of returns in the stock markets of the three countries has a significant leverage effect,and the linkage between stock markets during crisis outbreaks will significantly increase;The degree of integration between stock markets is deepening,with South Korea as a risk importing country and China and Japan as risk exporting countries.In order to maintain financial stability,in addition to further strengthening macro prudential supervision,countries should collaborate and build a regional unified and coordinated risk prevention mechanism.