摘要
为揭示券商板块在整体股市波动中发挥的引领作用规律,采用理论分析和实证检验的方法,基于风险测度理论构建Copula-GARCH-CoVaR模型,对券商板块与整体股市的风险相关性进行实证测度.研究结果表明:券商板块与整体股市有显著的风险溢出性,但在股市上涨与下跌过程中存在不对称的引领作用;信息冲击不对称现象容易引发系统性风险.研究结论可为监管部门对股市采取有效对策提供依据.
In order to reveal the leading role of the securities dealers sector in the overall stock market volatility,based on the risk measure theory,this paper uses both the theoretical analysis and empirical testing measures in testing risk correlation between the securities dealers sector and the overall stock market by constructing the Copula-GARCH-CoVaR model.The results show that the securities dealers sector and the overall stock market have a significant risk spillover effect,but it shows that there is an asymmetric leading effect in the process of stock market rise and fall.Asymmetric information shocks easily lead to systemic risk.The research conclusions can provide a basis for the regulatory authorities to take effective countermeasures for the stock market.
作者
李伯华
赵宝福
贾凯威
吴津津
LI Bohua;ZHAO Baofu;JIA Kaiwei;WU Jinjin(School of Business Administration,Liaoning Technical University,Huludao 125105,China)
出处
《辽宁工程技术大学学报（自然科学版）》
CAS
北大核心
2022年第6期558-566,共9页
Journal of Liaoning Technical University (Natural Science)
基金
辽宁省社会科学规划基金项目(L19BJY027)
辽宁省教育厅科研项目(LJ2019ZL006)
关键词
波动溢出效应
均值溢出效应
风险溢出
风险相关性
条件风险价值
volatility spillover effect
mean spillover effect
risk spillover
risk correlation
conditional value at risk
