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本文结合变结构的因子模型和网络分析法,研究2000—2016年中国股票市场在最大4次异常波动时段中的行业特质性金融风险传染,分别采用行业间特质性因子单向传染模型和双向传染模型构建4次异常时段的行业间特异性传染网络,运用网络分析法研究和展示传染的变化。研究结果发现:(1)近年的行业特质性传染加重。(2)暴跌时期的传染略高于暴涨时期。(3)金融类行业中的银行和保险行业无论在暴涨和暴跌时期都是传染网络最明显的中心,多元金融行业在暴跌时段对外传染能力强;能源行业最容易受传染;高新信息技术类行业中的软件与服务业的对外传染显著,半导体及半导体设备行业在近年来对外传染和受到传染的现象均加大;房地产行业在近期的对外传染加大。
In this paper, by combining the variable structure factor model and the network analysis method, we study the industry-specific financial risk contagion in China’s stock market during the maximum four abnormal volatility periods from 2000 to 2016. We use the one-way contagion model and the two-way contagion model The model constructs four inter-industry specific infection networks in abnormal times and uses network analysis to study and display the changes of infection. The findings show that: (1) In recent years, trait-based industries have been exacerbated. (2) The contagion in the period of plunge is slightly higher than that in the boom period. (3) The banking and insurance industries in the financial industry are the most obvious centers of contagion networks in the period of skyrocketing and slump. The diversified financial sector has strong external contagion during the plunge period. The energy industry is the most vulnerable to infection. The hi-tech IT industry In the software and services industry, the external contagion was significant. The semiconductor and semiconductor equipment industries were both externally infected and infected in recent years. The real estate industry has been increasing its external contagion in the near future.