石油市场和股票市场之间的尾部风险溢出效应——基于变分模态分解和动态Copula函数的研究

利用变分模态分解法将原始收益率序列分解为不同期限的子序列.基于动态Copula函数计算石油市场和股票市场之间的在险价值指标(VaR和CoVaR)，研究在极端下跌和极端上涨的市场情况下，国际石油市场与发达国家和新兴市场国家股票市场的短期和长期尾部风险溢出效应.实证研究结果表明，石油市场和股票市场之间存在双向的尾部风险溢出效应.首先在风险溢出的强度方面，石油市场对股票市场的尾部风险溢出效应明显比股票市场对石油市场的尾部风险溢出效应更强烈.其次在风险溢出的方向方面，股票市场对石油市场的尾部风险溢出效应均为正向，石油市场对大部分国家股票市场的上尾风险溢出效应为正向，且对全部国家股票市场的下尾风险溢出效应为正向.最后，石油市场和大部分国家股票市场之间的长期尾部风险溢出效应都比短期尾部风险溢出效应更强烈.研究结果有利于相关市场投资策略的制定和极端风险传染的防范.

Tail Risk Spillover Effect Between Oil Market and Stock Market:Based on Variational Mode Decomposition and Dynamic Copula Function

The variational mode decomposition method is used to decompose the raw return series into sub-sequences with different investment horizons.Based on the dynamic Copula function， the conditional value at risk index(VaR and CoVaR) are quantified to analyze the short- and long-term tail risk spillovers between oil market and stock market in the bear and bull markets. The empirical research results show that there is a two-way tail risk spillover effect between the oil market and the stock market. Firstly， in terms of the intensity of risk spillover， the tail risk spillover effect of the oil market on the stock market is significantly stronger than that of the stock market on the oil market. Secondly， in terms of the direction of risk spillover， the tail risk spillovers from the stock market to the oil market are all positive， the upside risk spillovers from the oil market to the stock markets of most countries are positive， and the downside risk spillovers from the oil market to the stock markets of all countries are positive. Finally， the long-term tail risk spillover effect between the oil market and the stock markets of most countries is stronger than the short-term tail risk spillover effect.The research results are beneficial to the formulation of relevant market investment strategies and the prevention of extreme risk contagion.