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中国管理科学

中国管理科学 ›› 2023, Vol. 31 ›› Issue (1): 37-46.doi: 10.16381/j.cnki.issn1003-207x.2020.1297

• 论文 • 上一篇    

基于协高阶矩检验体系的中国资本市场开放与风险传染效应研究

吴金宴1, 王鹏2, 3   

  1. 1.深圳证券交易所博士后工作站，广东 深圳518038；2.西南财经大学中国金融研究院，四川 成都611130；3.西南财经大学金融安全协同创新中心，四川 成都611130
  • 收稿日期:2020-07-08 修回日期:2020-10-13 发布日期:2023-02-09
  • 通讯作者: 王鹏(1981-)，男(汉族)，山东宁阳人，西南财经大学中国金融研究院，教授，博士，研究方向：风险管理，Email：wanpengcd@126.com. E-mail:wanpengcd@126.com
  • 基金资助:
    教育部人文社会科学研究一般项目(21YJC790115)

Research on Openness and Risk Contagion in Chinese Capital Market Based on Co-higher-moments Test System

WU Jin-yan1, WANG Peng2, 3   

  1. 1. Postdoctoral Workstation, Shenzhen Stock Exchange, Shenzhen 518038, China；2. Institute of Chinese Financial Studies, Southwestern University of Finance and Economics, Chengdu 611130, China;3. Collaborative Innovation Center of Financial Security, Southwestern University of Finance and Economics, Chengdu 611130, China
  • Received:2020-07-08 Revised:2020-10-13 Published:2023-02-09
  • Contact: 王鹏 E-mail:wanpengcd@126.com

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摘要： 近年来，我国资本市场的开放不断向全面纵深推进，但有关这一进程中风险传染的研究却存在诸多待改进之处。以2000年后我国资本市场开放的若干重大事件为节点，运用协高阶矩风险传染检验体系，对我国资本市场与国际主要资本市场之间的风险传染状况及动态趋势进行了全面系统的考察，取得的主要结论包括：我国资本市场与国际主要资本市场之间的风险传染更多发生在波动、偏度和峰度等高阶矩层面；全球主要资本市场对我国资本市场的风险传染经历了上升—下跌—上升的非线性过程，其间，2006年合格境内机构投资者(QDII)正式进军国际市场和2018年A股正式纳入MSCI指数体系，对我国资本市场与国际主要资本市场之间的风险传染具有极为重要的影响；各国(地区)资本市场对我国资本市场的风险传染呈现聚集性，并在我国实施各类资本市场开放政策的前期更为显著；中国香港市场和日本市场对我国内地市场的风险传染效应最为显著，而2018年A股正式成为全球配资标的后，美国市场对我国内地市场的影响跃居第一，美国市场的影响力随着资本市场的逐渐开放而日益凸显。

关键词: 资本市场开放；风险传染；协高阶矩

Abstract: Considering a number of major events about the opening of the capital market after 2000 as nodes, the situation and dynamic trends of financial risk contagion between Chinese capital market and the major international capital markets have been investigated by using the system of co-higher-moments contagion tests. The main results are as follows: (1) the risk contagion between Chinese capital market and the major international capital markets occurs more on the higher order moments level such as volatility, skewness and kurtosis; (2) the risk contagion from the major international capital markets to Chinese capital market has experienced a non-liner process from rasing to falling to rasing; (3) The risk contagion between the major international capital markets and Chinese capital market is clustering, and it is relatively significant in the early stage of Chinese capital market opening; (4) the official entry of QDII into the internationl market in 2006 and the formal inclusion of A-share in the MSCI index system in 2018 have a far-reaching influnce on the risk contagion between Chinese capital market and the major international capital markets; (5) in general, the Hong kong’s stock market and Japanese stock market have a most significant risk contagion effect on the domestic market; (6) the impact from the American stock market to domestic market jumped to the top after A-share became the global target in 2018, and the impact has become increasing prominent as the capital market has gradually opened.

Key words: capital market openness; risk contagion; co-higher-moments

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