摘要
本文基于我国A股56个行业指数日收益率,利用GJR-GARCH-ADCC模型,得到各行业间的非对称动态相关系数,表征各行业间的动态金融传染。在此基础上,基于动态相关系数分别构建无向权重网络、有向权重网络及动态网络,提取网络特征并分析市场风险的行业传染与外溢特征,基于最小生成树揭示股票市场风险的行业传染路径。结果表明,我国股票市场风险存在显著的行业传染,基于行业传染的金融网络最小生成树具有幂律分布特征,半导体行业在股票市场风险传染中处于核心节点,56个行业存在显著的社团传染特征,且社团内传染比社团间传染更严重,而化工行业、通用机械行业、工业机械行业与纺织服饰行业充当着社团间传染与外溢的连接点;银行业、保险业等金融业具有显著的波动净吸收与缓释作用,是我国股票市场风险的净吸收器,对于稳定金融市场具有重要作用;进一步分析发现,我国股票市场的行业传染与外溢具有显著的时变性与持续性。以上研究为从行业视角强化股票市场监控,降低风险传染效应具有重要启示。
作者
贾凯威 (1980- ),男,博士,辽宁工程技术大学工商管理学院副教授,研究方向为风险管理与投资决策。
李伯华 (1979- ),女,辽宁工程技术大学工商管理学院讲师,研究方向为金融风险管理。
吴津津 (1979- ),男,辽宁工程技术大学工商管理学院讲师,研究方向为金融风险管理。
贺迎 (1998- ),女,辽宁工程技术大学工商管理学院硕士研究生,研究方向为金融产业组织。
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