本文選題：風(fēng)險(xiǎn)溢出　切入點(diǎn)：CoVaR方法　出處：《運(yùn)籌與管理》2017年02期

【摘要】：選取中美股票市場的上證綜指、恒生指數(shù)和標(biāo)普500指數(shù)作為研究對(duì)象進(jìn)行風(fēng)險(xiǎn)溢出效應(yīng)研究,結(jié)果表明,總體而言上海市場與香港市場之間雙向風(fēng)險(xiǎn)溢出效應(yīng)最為顯著,香港市場和美國市場次之,而上海市場與美國市場之間的雙向風(fēng)險(xiǎn)溢出效應(yīng)最不顯著;從風(fēng)險(xiǎn)溢出方向與強(qiáng)度方面分析,無論牛熊市,香港市場對(duì)上海市場在極端風(fēng)險(xiǎn)時(shí)刻的風(fēng)險(xiǎn)溢出要顯著強(qiáng)于上海市場對(duì)香港市場的溢出,而香港市場與美國市場之間在牛市行情下雙向風(fēng)險(xiǎn)溢出效應(yīng)相對(duì)均衡,在熊市行情下香港對(duì)美國的風(fēng)險(xiǎn)溢出相對(duì)更大,與常理不一致的結(jié)果是上海市場在牛市期間對(duì)香港市場的風(fēng)險(xiǎn)溢出效應(yīng)要大于熊市,圍繞這一點(diǎn)進(jìn)一步采用Chi-plot相關(guān)圖進(jìn)行分析表明中國市場還未達(dá)到"中國打噴嚏,世界經(jīng)濟(jì)感冒"的狀態(tài);從風(fēng)險(xiǎn)溢出效應(yīng)的動(dòng)態(tài)趨勢分析看出兩個(gè)牛市階段各市場的風(fēng)險(xiǎn)溢出呈現(xiàn)不同特征。美國市場對(duì)中國市場的風(fēng)險(xiǎn)溢出效應(yīng)總體平穩(wěn),而中國市場對(duì)美國市場的風(fēng)險(xiǎn)溢出效應(yīng)存在一定差異,在低分位數(shù)水平相差較大,隨分位數(shù)水平提高兩個(gè)牛市階段的風(fēng)險(xiǎn)溢出趨于一致。但上海市場對(duì)香港市場的風(fēng)險(xiǎn)溢出隨時(shí)間變化在牛市階段逐步增強(qiáng),而香港市場對(duì)上海市場的風(fēng)險(xiǎn)溢出則逐漸下降。
[Abstract]:The risk spillover effects of Shanghai Composite Index, Hang Seng Index and S & P 500 index are studied. The results show that the two-way risk spillover effect between Shanghai market and Hong Kong market is the most significant.The two-way risk spillover effect between the Shanghai market and the US market is the least significant. From the risk spillover direction and intensity analysis, regardless of bull bear market,The risk spillover from the Hong Kong market to the Shanghai market at the extreme risk moment is significantly stronger than that from the Shanghai market to the Hong Kong market, and the two-way risk spillover effect between the Hong Kong market and the US market in the bull market is relatively balanced.The risk spillover from Hong Kong to the United States is relatively large in a bear market. The result is that the risk spillover effect of the Shanghai market on the Hong Kong market during the bull market is greater than that of the bear market.Around this point further use Chi-plot correlation chart to carry on the analysis to show that the Chinese market has not yet reached "China sneezes, the world economy cold" the state;From the dynamic trend analysis of risk spillover effect, it can be seen that the risk spillover of each market shows different characteristics in the two bull market stages.The risk spillover effect of the American market on the Chinese market is generally stable, while the risk spillover effect of the Chinese market on the US market is different to a certain extent, and there is a big difference in the low quantile level of the risk spillover effect of the US market.The risk spillover tends to be consistent with the increase of quantile level in the two bull market stages.However, risk spillovers from Shanghai to Hong Kong gradually increased over time during the bull period, while risk spillover from Hong Kong to Shanghai gradually declined.
【作者單位】： 廣東金融學(xué)院;
【基金】：教育部人文社科青年項(xiàng)目“牛熊轉(zhuǎn)換下的中美股市風(fēng)險(xiǎn)溢出效應(yīng)異化研究”(14YJC790141) 廣東省高等學(xué)校優(yōu)秀青年教師培養(yǎng)計(jì)劃項(xiàng)目“非對(duì)稱波動(dòng)建模及其在亞太股市風(fēng)險(xiǎn)管理中的應(yīng)用研究”(YQ201402) 國家自然科學(xué)基金面上項(xiàng)目“全球價(jià)值鏈下中國服務(wù)業(yè)國際競爭力研究:基于貿(mào)易增加值的分析”(71573057)
【分類號(hào)】：F831.51
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本文編號(hào)：1707747