医药子行业间系统性风险溢出效应研究

Research on the Systematic Risk Spillover Effect among Sub-Industries in the Pharmaceutical Industry

文章基于2018年1月1日至2023年5月22日医药行业指数日度收益率数据,采用GARCH-Copula-CoVaR模型实证检验了医药行业系统间风险溢出效应。研究结果显示:(1) 医药行业内部存在明显的关联性和风险溢出效应,风险溢出度最大值是最小值的4.3倍;(2) 医疗服务行业是医药行业系统性风险中的重要性行业,承担风险溢出角色,医药商业行业则承担风险接收角色。Based on the daily return data of the pharmaceutical industry index from January 1, 2018 to May 22, 2023, this article empirically tests the risk spillover effect among systems in the pharmaceutical industry by using the GARCH-Copula-CoVaR model. The research results show that: (1) There is an obvious correlation and risk spillover effect within the pharmaceutical industry, and the maximum value of the risk spillover degree is 4.3 times that of the minimum value;(2) The medical service industry is an important industry in the systematic risk of the pharmaceutical industry and undertakes the role of risk spillover, while the pharmaceutical commercial industry undertakes the role of risk reception.