论文

网络视阈下中国股市风险的行业传染研究

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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网络视阈下中国股市风险的行业传染研究

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论文目录

  • 引言
  • 1 文献综述
    1. 1.1 金融传染:行业研究动机
    2. 1.2 股票市场网络研究
  • 2 模型与方法
    1. 2.1 MGARCH-ADCC模型
    2. 2.2 复杂网络理论
  • 3 基于GJR-GARCH-DCC模型的动态相关性分析
    1. 3.1 数据来源、数据说明与描述性统计
    2. 3.2 数据描述性统计
    3. 3.3 模型估计结果
    4. 3.4 非对称动态相关系数提取
  • 4 基于动态相关系数的外溢网络构建与传染特征分析
    1. 4.1 静态网络构建与分析
      1. 4.1.1 无向权重网络构建与分析
      2. 4.1.2 有向权重网络构建与分析
    2. 4.2 动态网络分析
      1. 4.2.1 网络连通性分析
      2. 4.2.2 网络节点强度稳定性分析
      3. 4.2.3 平均最短距离与同配系数
  • 结论与启示

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