中美股票市场风险传染效应分析——基于相关性结构分解

Analysis of Risk Contagion Effect of Stock Markets between China and the US: A Perspective of Correlation Structure

中文关键词:  中美股市  相关性结构分解  分块混合Copula  风险传染效应  传染方向

英文关键词:Chinese and the US stock markets  correlation structure decomposition  the patched bivariate Fréchet copula  risk contagion effect  contagious direction

中文摘要:

      股票市场的“溢出效应”是学术界持续关注的热点问题。在全球政治经济格局日益复杂的当下,研究中美两国股市之间的传染效应也具有现实意义。基于2001年1月—2020年7月上证综合指数和标普500指数的日收盘价数据,运用分块混合Copula模型,对不同市场行情下中美股市之间的相关性结构进行分解并识别了风险传染方向。研究发现:中美股市之间风险传染效应在低迷与繁荣两种极端市场行情下具有非对称性；在两种极端市场行情的更迭过程中,风险传染效应以较大概率伴随出现。传染强度上,2005年以后能够检测到中美股市之间存在显著的风险传染效应,而2012—2019年传染效应达到最强。传染方向上,次贷危机之前,美国股市对中国股市存在单向风险传染；次贷危机之后,美国股市的主导地位有所减弱,中国A股一度表现出对美股的单向传染效应。因此,挖掘更多的相关性结构信息,有助于全球投资者制定精细化的风险管理方案。

英文摘要:

      The spillover effect in the stock market is a central issue constantly arresting academic attention. Given the increasingly complex global political and economic landscapes, it is of practical significance to study the contagious effect of stock markets between China and the US. Based on the daily closing price data of Shanghai Stock Exchange Composite Index and S&P 500 Index from January 2001 to July 2020, this paper employed the patched bivariate Fréchet copula model to decompose the correlation structure between Chinese and the US stock markets, and identified the contagious direction of risks. We came up with the following findings. Such a contagion effect is asymmetric when the two stock markets are at the extremes depression and prospeity. During the alteration of the two extreme conditions, the contagion effect is likely to occur. Regarding contagion intensity, the post-2005 period has witnessed a salient contagion effect between Chinese and the US stock markets, which peaked during the 2012–2019 period. With respect to the contagious direction, prior to the subprime mortgage crisis, it flowed from the US stock market to Chinese stock market. After the subprime mortgage crisis, the leading position of the US stock market has been weakened, and for a time China's A-share market exhibited a unilateral contagious effect on the US stock market. Therefore, seeking more correlation structure information is good for investors to enact precise risk management schemes. 