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| 全球股票市场系统性金融风险的溢出效应研究——基于关联网络的研究视角 |
| Research on the Spillover Effect of Systematic Financial Risks in the Global Stock Market ——Perspective Based on Connectedness Network |
| 投稿时间：2020-06-12 |
| DOI：10.16018/j.cnki.cn32-1499/c.202101009 |
| 中文关键词: 系统性风险 溢出效应 关联网络 |
| 英文关键词: systemic risks spillover effects connectedness network |
| 基金项目: |
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| 中文摘要: |
| 在开放的全球经济体系下，各国或地区金融市场的关联性不断上升，局部金融风险通过关联网络不断地扩散，进而形成全球性的金融危机，系统性风险溢出的网络特征受到各界的广泛关注。根据2005—2019年全球主要股票市场的股指数据，采用网络拓扑方法测度全球股市风险溢出效应，并采用滚窗估计对系统性风险溢出进行动态分析。实证结果表明，美国处于全球风险溢出网络的中心地位，而中国尚处于网络边缘，并与周边经济体产生明显的溢出效应。此外，全球系统性金融风险溢出水平呈现出一种“脆弱”的状态，易受风险事件的冲击。 |
| 英文摘要: |
| Under the open global economic system, the relevance of financial markets in various countries or regions is increasing, and local financial risks continue to spread through the connectedness network, thereby forming a global financial crisis. Based on the stock index data of major global stock markets from 2005 to 2019, the network topology method was used to measure the risk spillover effect of the global stock market, and the rolling window estimation was used to dynamically analyze the systemic risk spillover. The empirical results show that the United States is at the center of the global risk spillover network. China is still on the edge of the network, and has a significant spillover effect with the surrounding economies. In addition, the global systemic financial risk spillover level presents a fragile state, which is susceptible to risk events. |
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