哪些因素影响了股市风险传染？——来自行业数据的证据

doi:10.16381/j.cnki.issn1003-207x.2020.0138

Abstract

Abstract: Statistics show that the phenomenon of “thousand-share hitting limit down” has appeared for 18 times during the period from June 1, 2007 to December 31, 2017. CoVaR combined with time-varying SJC-Copula method is used to measure the degree of inter-industry risk contagion in the Chinese stock market and test the influential factors on the basis of real linkage and financial linkage. The main results show the inter-industry risk contagion of Chinese stock market is heterogeneity and time-varying. Industries that are closely related to other industries and poor in information transparency are more contagious to other industries. Similarly, industries that are closely related to other industries, poor in information transparency and illiquidity in stocks are more susceptible to risk from other industries. Investor optimism is inversely correlated with risk contagion among industries, which explains the time-varying of risk contagion to some extent.

Key words: risk contagion; degree of inter-industry linkage; transparency in the industry; investor sentiment

CLC Number:

F830
F224

WU Jin-yan, WANG Peng. Factors Affecting the Risk Contagion of the Stock Market: An Evidence from Industry-Level Data[J]. Chinese Journal of Management Science, 2022, 30(8): 57-68.

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Factors Affecting the Risk Contagion of the Stock Market: An Evidence from Industry-Level Data

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