| 沪深股市和香港股市的风险溢出效应研究——基于时变ΔCoVaR模型的分析 |
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| 引用本文： | 林娟,赵海龙.沪深股市和香港股市的风险溢出效应研究——基于时变ΔCoVaR模型的分析[J].系统工程理论与实践,2020,40(6):1533-1544. |
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| 作者姓名： | 林娟 赵海龙 |
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| 作者单位： | 1. 厦门大学 经济学院 金融系, 厦门 361005;2. “计量经济学”教育部重点实验室(厦门大学), 厦门 361005;3. 厦门大学 王亚南经济研究院, 厦门 361005 |
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| 基金项目： | 国家自然科学基金（71501164，71671150，71571154）；教育部人文社会科学研究青年基金项目（20YJC790071） |
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| 摘 要： | 本文基于时变ΔCoVaR模型,对2006年11月至2018年12月间沪深股市和香港股市的尾部风险溢出效应进行了估算.研究发现:1)沪深股市与香港股市之间存在着双向风险溢出效应,且溢出效应均为正;2)香港股市对沪深股市的风险溢出效应强于沪深股市对香港股市的风险溢出效应;3)深市和香港股市之间的风险溢出效应的波动幅度大于沪市和香港股市之间的风险溢出效应的波动幅度;4)沪港通和深港通的开通并没有显著增加香港股市与沪深股市之间的双向风险外溢程度.
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| 关 键 词： | 时变VaR ΔCoVaR 尾部风险 风险溢出 分位数回归 |
| 收稿时间： | 2019-03-30 |
Research on the risk spillovers between Shanghai,Shenzhen and Hong Kong stock markets—Based on the time varying ΔCoVaR model |
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| LIN Juan,ZHAO Hailong.Research on the risk spillovers between Shanghai,Shenzhen and Hong Kong stock markets—Based on the time varying ΔCoVaR model[J].Systems Engineering —Theory & Practice,2020,40(6):1533-1544. |
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| Authors: | LIN Juan ZHAO Hailong |
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| Institution: | 1. Department of Finance, School of Economics, Xiamen University, Xiamen 361005, China;2. Key Laboratory of Econometrics(Xiamen University), Ministry of Education, Xiamen 361005, China;3. Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen 361005, China |
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| Abstract: | This paper uses the ΔCoVaR approach to estimate the tail risk spillover effects between Shanghai/Shenzhen and Hong Kong stock markets from November 2006 to December 2018. The results show that:1) There exist the significantly positive spillover effects between Shanghai/Shenzhen and Hong Kong stock markets in both directions; 2) The spillover effects from Hong Kong to Shanghai/Shenzhen stock market are stronger than those from Shanghai/Shenzhen to Hong Kong stock market; 3) There exist more fluctuations in the spillover effects between Shenzhen and Hong Kong stock markets than those in the spillover effects between Shanghai and Hong Kong stock markets; 4) After the launch of the ‘Shanghai-Hong Kong Stock Connect’ and ‘Shenzhen-Hong Kong Stock Connect’, the spillover effects between Hong Kong and Shanghai/Shenzhen stock markets do not appear to change significantly. |
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| Keywords: | time varying VaR Δ CoVaR tail risk risk spillover quantile regression |
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