香港股市对内地股市行业间尾部风险溢出研究

Study on Inter-industry Tail Risk Spillover Between Hong Kong and Chinese Mainland Stock Markets

基于行业市场视角,采用非对称CoVaR方法测量香港股市内部行业对内地相应行业的尾部风险溢出,识别易受冲击的行业子市场,分析不同时期市场遭受不同冲击对尾部风险的作用关系、影响因素,剖析输入性金融风险传染渠道。研究发现:香港地区对于内地的行业尾部风险溢出集中在非日常消费品与工业子市场;不同行业尾部风险溢出存在异质性,在国际化程度高的市场中贸易开放度及金融开放度有显著作用;各主要传染渠道在不同时期所发挥的作用不同,如信息渠道总在尾部风险溢出中起到显著作用,金融联系渠道则在机制改革与内地市场脆弱性增加的特殊时期起到减弱尾部风险溢出的作用。同时,为有效防范系统性金融风险和加强金融协调监管提出了对策建议。

This paper employed the asymmetric Conditional Value at Risk(CoVaR)methodology to measure the tail risk spillover within the Hong Kong stock market from corresponding industries in Chinese mainland,aimed to identify vulnerable sub-markets,analyzed the dynamic relationships and influencing factors of tail risk during periods of different market shocks,and dissected the channels through which financial risks propagate from an industry market perspective.The research reveals that:(1)The tail risk spillover from Hong Kong region to Chinese mainland is concentrated on unnecessary consume and industry sub markets.(2)There is heterogeneity in tail risk spillover in different industries,which plays a significant role in trade openness and financial openness in the market with a high degree of internationalization.(3)The main infectious channels play different roles in different periods.For example,information channels always play a significant role in the tail risk spillover,while financial contact channels play a role in weakening the tail risk spillover in the special period when the mechanism reform and the vulnerability of Chinese mainland market increase.Meanwhile,this paper provides countermeasures and suggestions for effectively preventing systemic financial risks and strengthening financial coordination and supervision.