摘要
随着我国绿色证券市场规模的不断扩大、金融衍生品种类的不断增多及其资金来源的复杂化,绿色证券市场的风险可控性逐渐降低,其与传统金融市场的融合过程中很可能会积聚风险并引发风险传染。本文重构了金融系统研究框架,探究了绿色债券、绿色股票与依行业划分的完整金融市场间的风险传染机制。通过分别构建R-藤Copula模型和混频有向加权复杂网络,探究了我国绿色证券市场与传统金融市场在系统层面的风险传染路径,进一步完善了在中国的特定市场条件下风险传递机制的理论框架。此外,通过对原油价格暴涨、中美贸易战/定向降准以及新冠疫情三阶段金融事件进行对比研究,发现金融事件会通过提升跨市场风险传染水平,经过“风险产生→交叉传染→再交叉传染”的过程使金融系统风险联通性整体上升。此外金融事件的发生会引起使得高频溢出水平显著上升,中频溢出和低频溢出会向高频溢出转化。研究结果不仅有助于监管者维护绿色证券市场的稳定与健康发展,完善绿色证券的风险控制体系,同时可以促进绿色证券投资者规避投资风险和优化资产配置。
With the rapid development of China′s green financial system,risk and information spillovers are associated with China′s green securities and traditional financial markets.The instability of the international political and economic environment and the escalation of trade frictions further increase the possibility of cross-market risk infection.Therefore,exploring the risk infection mechanism among China′s green bond market,green stock market,and traditional financial markets will be helpful in providing a theoretical basis for improving the development of domestic green finance.In addition,it will also be of great significance to resource allocation between China′s emerging green financial market and the traditional financial market.This study reconstructs the research framework of the financial system and explores the risk contagion among green bonds,green stocks,and traditional financial markets categorized by industry.Moreover,combined with several major financial events,we further construct linkage and contagion networks and examine the contagion effect of financial risk between China′s green securities and traditional markets.First,this study applies the R-Vine Copula model to establish a linkage network of the green securities market and traditional financial markets.It reflects the linkage level between green securities and traditional markets under normal and extreme risk conditions.Second,based on the DY and BK spillover indices,this study constructs a complex network of risk contagion in the time and frequency domains.We then compare the linkage networks further to explore the risk contagion mechanism in various markets.Finally,regarding the skyrocketing crude oil prices,the Sino-US trade war/targeted RRR cuts,and COVID-19 three-stage financial events,this study further considers the dynamic correlation and nonlinear correlation characteristics of different markets and presents the evolution process of different markets under various conditions from a dynamic perspective.We obtain several interesting findings:On the one hand,from the perspective of risk linkage at the system level,we find that under normal conditions,China′s financial system takes the stock,bond,and futures markets as the main body,connected with other financial markets,to form a linear risk linkage structure.The internal risk linkage level of the same type of market is strong,and most markets display asymmetric upper-tail correlation structures that are vulnerable to extreme risks.By contrast,the same type of financial market will generate a more significant separation effect during financial events.That is,the same type of financial market will turn to connect with other types of markets.In addition,under the influence of financial events,an extreme risk linkage is more likely to occur within similar markets.On the other hand,from the perspective of risk spillover at the system level,we can conclude that,in the normal state,high-level risk spillover is mainly concentrated in the same kind of market,and the stock market is the core of outward risk in the entire financial system.For risk spillovers at different frequencies in the normal state,the level of medium-frequency spillovers is the strongest,and the intensity of high-frequency and low-frequency spillovers is the lowest.There is a“seesaw”effect on the level intensity of risk spillover in the two frequency bands.Most of the same market is likely to generate substantial risk spillovers in only one of the high-or low-frequency bands.By contrast,the occurrence of financial events mainly affects the risk spillover of the financial system in two ways.First,financial events increase the overall risk connectivity of the financial system by improving the cross-market risk contagion.Through the process of“risk generation→cross-contagion→re-cross-contagion,”the level of inter-market risk spillover within the whole financial system will eventually become consistent,and the system risk connectivity will increase significantly.Second,from the perspective of risk spillovers at different frequencies,the emergence of financial events will cause a significant increase in the level of high-frequency spillovers,and medium-and low-frequency spillovers will transform into high-frequency spillovers.The results will provide a reference for regulators to maintain the stable and healthy development of the green securities market and improve the risk control system of green securities.Moreover,the results of this study also encourage green securities investors to avoid investment risks,optimize asset allocation,and prevent investment losses caused by risk contagion in traditional financial markets.The results of this study suggest that market regulators of the green securities market should further optimize the risk management index system and dynamically monitor the international financial environment to improve the risk prevention and control level of the green securities market.In addition,investors in the green securities market should choose green securities and markets with low-risk linkages to construct multiple portfolios and reduce potential investment losses by dispersing funds and reducing internal risk contagion.
作者
高扬
李杨洋
王耀君
GAO Yang;LI Yangyang;WANG Yaojun(School of Economics and Management,Beijing University of Technology,Beijing 100124,China;College of Information and Electrical Engineering,China Agricultural University,Beijing 100083,China)
出处
《管理工程学报》
CSSCI
CSCD
北大核心
2023年第6期77-93,共17页
Journal of Industrial Engineering and Engineering Management
基金
国家自然科学基金资助项目(72171005)。
