中国股市跨行业系统性风险空间溢出关联及风险预测分析——基于尾部风险网络模型

doi:10.16381/j.cnki.issn1003-207x.2019.1649

Abstract

Abstract: Financial markets have become remarkably volatile since 2008 global financial crisis. Systemic risk in the financial sector triggered by tail events can spread quickly across markets and even between countries. In the recent years, high volatility in stock prices and market crashes (i.e., the “money shortage” in 2013, the “stock disaster” in 2015 and the “COVID-19” in 2020) have been witnessed more frequent and severe. It is noted that financial systemic risks have a significant “generation-contagion-reinfection” mechanism. Although there is cross-institutional transmission, the problem of cross-market and cross-sector transmission have become increasingly prominent. Risk contributions vary across sectors and the risk contributions of individual institutions depend highly on their sect oral affiliations. Therefore, it is particularly important to analyze the systemic risk spatial spillover cross-industry in China’s stock market, identify the most influential industries, capture the source of risks and establish the systemic risk prediction model.

Key words: system risk, spillover correlation, tail risk network, edge concentration, ARDL model

CLC Number:

F832.5

ZHANG Wei-ping, ZHUANG Xin-tian, WANG Jian. Systematic Risk Spatial Spillover Correlation and Risk Prediction Analysis of Cross-industry in China’ Stock Market——Based on The Tail Risk Network Model[J]. Chinese Journal of Management Science, 2021, 29(12): 15-28.

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Systematic Risk Spatial Spillover Correlation and Risk Prediction Analysis of Cross-industry in China’ Stock Market——Based on The Tail Risk Network Model

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