考虑时变与高频因素的金融风险传染效应分析——以SHFE市场金属期货为例

Risk Contagion Analysis Combining the Time-varying and High-frequency Factors——Taking the Metal Futures of SHFE as An Example

为了有效度量金融市场中因相互关联而引发的风险传染效应,并充分体现其时变性与频繁性,立足高频数据并结合时变测度模型进行分析可能是较为合适的方法。基于此,文章在时变传染效应测度模型基础上,以我国金属期货高频交易数据为样本进行实证,得出结论:(1)市场间存在的时变风险传染效应是该市场价格波动的重要影响因素;(2)高频数据呈现的传染现象受传染源市场波动影响大,而受前期传染效应的滞后影响小,该现象表明针对传染源的及时处理是控制风险传染的有效途径;(3)兼顾时变与高频因素的传染效应其影响程度与市场价格波动及已实现波动呈反比,该现象表明波动较大或前期波动大的市场受相关市场风险传染影响小。

With globalization of economy and integration of markets,the relation between financial markets is closer,and their impact is more frequent and far-reaching.The subprime crisis and European debt crisis broken out in Europe and United States respectively,have fully demonstrated the above characteristics.To effectively measure the risk contagion effect and represent it's time-varying and frequent properties,the time-varying contagion model based on high frequency data is proposed and maybe an appropriate method.Based on this contagion model and high frequency transaction data of metal futures in SHFE,an empirical study have been taken in this paper,and concluded that:(1) the time-varying contagion effect is an important factor of the price volatility in financial market;(2)the risk contagion effect showed by high frequency data is mainly influenced by price volatility of the original market rather than lagged contagion effect,thus,a effective approach to control the risk contagion effect is to timely deal with the original market;(3)the risk contagion effect combining the time-varying and high frequency factors is inversely proportional to price volatility and realized price volatility,which show that a financial market with greater price volatility or realized price volatility will be less affected by the risk contagion effect from other financial markets.