摘要
本文结合滚动窗口技术构建高维动态R-Vine Copula模型来分析全球24个股市在2003-2019年的动态相依结构及其尾部风险溢出效应,进而揭示全球股市相依结构突变特征并评价我国内地股市的国际影响力。最终结论表明:全球股市相依结构分布呈现明显的地理聚集特征——东西半球分离格局。法国股市成为欧美区域的中心枢纽,中国香港股市成为亚太区域的中心枢纽,并和新加坡股市一起成为亚太股市与欧洲股市的连接桥梁。欧元区和美洲区股市相依性较高,亚太股市之间相依性较低。重大危机事件(2008年全球金融危机和2010年欧债危机)的爆发会导致全球股市相依结构出现结构性突变(由上下尾对称结构转向上下尾非对称结构)和尾部风险溢出效应增强,但在危机消失后,全球股市相依结构会逐步恢复常态。各股市之间的尾部风险溢出效应存在区域分化。处于网络中心地位的股市(中国香港股市、法国股市)对其相邻股市呈现出尾部风险净溢出状态。与此同时,区域一体化程度越高,股市之间的尾部风险溢出走势趋同性越强。中国内地股市在国际股市网络中的影响力已经有明显提升,但依然处于边缘位置。
A high-dimensional dynamic R-Vine Copula model is constructed with rolling window technology to analyze the dynamic dependency structure of 24 worldwide stock markets and their tail risk spillover effects from 2003 to 2019.On this basis,we revealed the structural changes in the global stock market network and evaluated the international influence of the domestic stock markets in China.The final research conclusions show that the distribution structure of these stock markets has obvious geographical clustering characteristics and a separation pattern between the east and the west.The French stock market has becomes the central hub of the European and American regions,and the Hong Kong stock market of China has becomes the central hub of the Asia-Pacific region.Hong Kong stock market and Singapore stock market have become a connection bridge between the Asian-Pacific stock market and the European stock market.European and American stock markets are highly dependent.Asia-Pacific stocks have low interdependence.The outbreak of major crisis events(the global financial crisis in 2008 and the European debt crisis in 2010)caused a structural change in the dependency structure of global stock markets(from a symmetrical structure to asymmetrical structures)and the tail risk spillover effect,but after the crisis disappears,the dependency structure of global stock markets gradually returns to normal.There is regional differentiation in the tail risk spillover effect between stock markets.The stock markets that are at the center of the network such as Hong Kong stock market and French stock market have present a tail-risk net spillover state to their neighboring stock markets.At the same time,the higher the degree of regional integration,the stronger the convergence of tail risk spillover trends between stock markets.The influence of the Chinese mainland stock markets in the international stock market network has increased significantly,but they are still marginal.
作者
郭文伟
张翼凌
杨姣姣
GUO Wen-wei;ZHANG Yi-ling;YANG Jiao-jiao
出处
《中央财经大学学报》
CSSCI
北大核心
2020年第12期22-36,共15页
Journal of Central University of Finance & Economics
基金
国家社会科学基金项目“房价泡沫空间溢出对区域金融风险的影响机制和防范研究”(项目编号:19BJY244)。
关键词
全球股市
相依结构
尾部风险溢出效应
结构性突变
Global stock market
Dependent structure
Tail risk spillover effect
Structural change
