摘要
运用标准差法、FAMA-FRENCH三因子模型法和动态因子Copula模型法等,对2015—2021年中国银行业和房地产业市场各14家主要公司股票收益率进行分析,比较两市场总体风险、系统性风险、异质性风险和市场联合违约概率,并对风险传导方向和效率进行量化检验。结果显示:两市场风险走势基本一致,房地产市场波动比银行市场更剧烈、频繁,房地产业平均系统性风险和平均异质性风险均高于银行业;两市场联合违约概率与风险走势密切相关,系统性风险和异质性风险共同作用提升了市场联合违约概率;风险在两市场间存在交叉传导、反复传导、长期传导的特征,银行业对市场稳定的影响比房地产业更大。因此认为针对银行业市场,须重点关注其可能向其他市场传导的系统性风险,从源头上提高金融系统稳定程度;针对房地产市场,既要从宏观角度把握金融市场风险,也要从微观角度警惕异质性风险。
Using the standard deviation method,Fama-French three-factor model method and dynamic factor copula model method,we analyzes the stock returns between 14 major companies in China’s bank and real estate markets from 2015 to 2021.We compares the overall risk,systematic risk,heterogeneous risk and market joint default probability of the two markets,and makes a quantitative test on the direction and efficiency of risk transmission.The results show that the risk trend of the two markets is nearly same,the fluctuation of the real-estate market is more intense and frequent than that of the bank market,and the average systematic risk and average heterogeneous risk of the real estate industry are higher than that of the bank industry.The joint default probability of the two markets is closely related to the risk trend.The joint default probability of the two markets is enhanced by the joint action of systemic risk and heterogeneous risk.Risk has the characteristics of cross transmission,repeated transmission and long-term transmission between the two markets.The bank industry has a greater impact on market stability than the real-estate industry.We holds that for the bank market,we should focus on the systemic risks that may be transmitted to other markets,so as to improve the stability of the financial system from the source;For the real-estate market,we should not only grasp the financial market risk from the macro perspective,but also guard against the heterogeneity risk from the micro perspective.
出处
《金融理论与实践》
北大核心
2022年第1期28-38,共11页
Financial Theory and Practice
关键词
系统性风险
异质性风险
联合违约概率
金融风险传导
systemic risk
heterogeneity risk
joint probability of default
financial risk transmission
