摘要
基于时变超阈值模型和溢出指数方法构建国际股票市场尾部风险关联网络,从大小、方向和动态性的角度考察1997–2022年间全球10个重要股票市场之间的尾部风险溢出效应,对极端风险事件下尾部风险关联结构的时变特征进行考察,并分析了尾部风险传染的内在机制.研究发现,整个样本期内,10个市场尾部风险溢出的均值达到59.79%,呈现出明显的尾部风险跨市场传染效应,且该效应在危机时期更为显著.美国是最大的尾部风险净输出者,是国际股票市场极端风险的重要来源之一.中国内地市场则具有最低的双向尾部风险溢出水平,并长期保持尾部风险净接收者的地位.中美贸易摩擦和新冠疫情暴发以后,国际市场尾部风险联动增强,给防范境外输入性风险冲击、维护金融安全与稳定带来了更大的挑战.国际尾部风险溢出结构也具有明显的时变特征,平稳时期主要存在发达资本市场之间的溢出效应,新兴市场间的尾部风险溢出效应在危机时期明显增强.最后,经济基本面和市场传染都是国际股市尾部风险溢出效应的重要影响因素.
From the perspective of magnitude,direction and dynamics,this paper investigates the tail risk contagion among 10 important stock markets in the world from 1997 to 2022 based on the tail risk interconnectedness network,which is constructed by combining the time-varying peak over threshold(POT)model and the spillover index model.We also focus on the characteristics of tail risk spillover network and the internal mechanism of tail risk contagion.Empirical results show that the average tail risk spillover index of these 10 markets reached 59.79%during the whole sample period,indicating obvious cross-market contagion effect of tail risk.At the same time,the tail risk spillover effect is time varying,which is more significant during the crisis.The United States is the largest net exporter of tail risk in the sample range and one of the important sources of extreme risk in the international market.Due to relatively low degree of openness,the Chinese mainland market has the lowest level of two-way tail risk spillovers and has been a net recipient of tail risk for a long time.Since the outbreak of the China-US trade frictions and the COVID-19,the tail risk linkages among the international stock markets have been strengthened,bringing greater challenges to preventing imported risks and maintaining financial security and stability.The structure of the international tail risk spillover network is also timevarying.The spillover effect mainly exists between developed markets during stable periods,while it is significantly strengthened between emerging markets during crises.Finally,the economic fundamentals and the market contagions are both found to be important factors of tail risk spillover effects.
作者
钟婉玲
李海奇
ZHONG Wanling;LI Haiqi(School of Finance,Hunan University of Technology and Business,Changsha 410205,China;College of Finance and Statistics,Hunan University,Changsha 410006,China)
出处
《计量经济学报》
CSCD
2024年第2期467-486,共20页
China Journal of Econometrics
基金
国家自然科学基金(72171076)
湖南省杰出青年科学基金(2021JJ10026)
湖南省自然科学基金青年基金(2022JJ40136)
湖南省教育厅科学研究优秀青年项目(22B0647)。
关键词
股票市场
尾部风险
溢出效应
关联网络
时变超阈值模型
stock market
tail risk
spillover effect
interconnectedness network
time-varying peak over threshold(POT)model
