摘要
本文采用分位数回归技术构建时变条件预期损失模型(ΔCoES),测算2020年4月—2021年3月间我国A股核心资产股票价格的尾部风险溢出情况,分析我国A股核心资产下跌对于市场大盘的影响。实证研究表明:核心资产指数尾部风险越大,在极端情况下对上证综指的风险溢出也越大,两者有显著的正相关性。在2020年4月—2021年3月市场下跌期间,核心资产对市场的尾部风险溢出高于同期的中证500指数。核心资产中,医疗保健行业波动最大,产生的风险溢出也最高,其次是消费类行业,这两个行业在近一年内对市场造成的下跌影响最大。
Based on the quantile regression theory,a time‐varying conditional expected loss model(ΔCoES)was constructed to measure the tail risk spillover of China’s A share core assets stock prices from April 2020 to March 2021,and the impact of core assets’price falling on the whole market was analyzed.The empirical research shows that the greater the tail risk of the core assets index,the greater the risk spillover to the Shanghai Stock Exchange(SSE)composite index in extreme cases,and the two have a significant positive correlation.During the April 2020 to March 2021,when the market declines,the tail risk spillover of core assets to the market was higher than that of the China Securities Index(CSI)500 during the same period.Among core assets,the healthcare sector is the most volatile and generates the highest spillovers,followed by the consumer sector,these two sectors have contributed the most to the market’s decline over the past year.
作者
郭树华
马啸宇
Guo Shuhua;Ma Xiaoyu(School of Economics,Yunnan University,Kunming 650500,China)
出处
《技术经济》
CSSCI
北大核心
2021年第12期113-126,共14页
Journal of Technology Economics
基金
国家自然科学基金地区科学基金项目“新时代中国沿边区域开放空间格局优化与战略支撑研究”(71861034)
云南大学科学研究创新基金项目“新冠疫情冲击的市场反应研究——基于事件研究法”(2020147)。
