新冠肺炎疫情蔓延中的股价波动风险及其结构关联

doi:10.16716/j.cnki.65-1030/f.2021.06.002

新疆财经 ›› 2021,Issue (6): 13-25.doi: 10.16716/j.cnki.65-1030/f.2021.06.002

新冠肺炎疫情蔓延中的股价波动风险及其结构关联

石振宇¹, 安邦²

1.天津财经大学金融学院,天津 300222;
2.西安交通大学经济与金融学院,陕西西安 710049

收稿日期:2021-08-30 出版日期:2021-12-25 发布日期:2021-12-14
通讯作者: 石振宇（1990—）,男,通讯作者,讲师,经济学博士,研究方向为国际金融。
作者简介:安邦（1983—）,男,博士研究生,现就职于兴业银行天津分行,研究方向为公司金融。
基金资助:
国家社会科学基金重大项目“美国逆全球化视域下我国跨境资本流动与宏观经济均衡研究”（17ZDA100）

The Risk of Stock Price Volatility and Its Structural Association in the Spread of COVID-19

Shi Zhenyu¹, An Bang²

1. Tianjin University of Finance and Economics,Tianjin 300222,China;
2. Xi'an Jiaotong University,Xi'an 710049,China

Received:2021-08-30 Online:2021-12-25 Published:2021-12-14

摘要/Abstract

摘要： 新冠肺炎疫情蔓延可能加剧全球股价波动风险的跨市场交叉传染和叠加共振效应。本文选取2019年7月11日—2020年7月10日全球11个国家共12个股票市场的股价指数数据,基于滚动VAR模型构建全球股市波动溢出指数、风险溢出网络和结构关联矩阵,探讨新冠肺炎疫情蔓延中股价波动风险的时变溢出动态和空间传递路径。研究发现：新冠肺炎疫情暴发后,各市场股价波动关联程度大幅提升,全球股市风险溢出水平明显上涨;疫情的全球蔓延不仅增强了区域内的风险溢出强度,而且也提高了欧美跨市场风险溢出水平。这意味着,政策当局在积累重大疫情风险防控政策经验的同时,也要注意加强公共卫生应急管理体系建设,降低疫情蔓延中股价波动风险的跨市场交叉传染和叠加共振,缓解重大突发公共卫生事件对金融市场造成的不利冲击;中国政府要严格管控来自欧美市场的风险溢出和亚洲市场的风险共振,注意防范由中国香港向中国内地资本市场的输入性金融风险。

关键词: 新冠肺炎疫情, 股价波动, 风险溢出, 结构关联, 突发公共卫生事件, 金融风险

Abstract: The spread of novel coronavirus pneumonia may exacerbate cross market cross infection and superposition resonance effect of global stock price volatility. The article selects stock index data of twelve stock markets in eleven countries from July 11, 2019 to July 10, 2020, and constructs a global stock market volatility spillover index, risk spillover network and structural correlation matrix based on rolling VAR model in order to explore the time-varying spillover dynamics and spatial transmission paths of the risk of stock price fluctuations in the spread of the corona virus. The study found that novel coronavirus pneumonia outbreak, the degree of correlation of stock market volatility increased significantly, and the Risk Spillover level of global stock market rose significantly. The global spread of the epidemic has not only enhanced the intensity of Risk Spillover in the region, but also improved the level of cross Market Risk Spillover in Europe and the United States. This means that while accumulating policy experience in major epidemic risk prevention and control, policy authorities should also pay attention to strengthening the construction of public health emergency management system, reduce the cross market cross infection and superposition resonance of stock price fluctuation risk in the spread of the epidemic, and alleviate the adverse impact of major public health emergencies on the financial market; We should strictly control the risk spillovers from European and American markets and the risk resonance in Asian markets, and pay attention to preventing the imported financial risks from Hong Kong to mainland China's capital market.

Key words: COVID-19, Stock Price Volatility, Risk Spillover, Structural Correlation, Public Health Emergencies, Financial Risk

中图分类号:

F831.5

石振宇, 安邦. 新冠肺炎疫情蔓延中的股价波动风险及其结构关联[J]. 新疆财经, 2021, (6): 13-25.

Shi Zhenyu, An Bang. The Risk of Stock Price Volatility and Its Structural Association in the Spread of COVID-19[J]. Finance & Economics of Xinjiang, 2021, (6): 13-25.

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新冠肺炎疫情蔓延中的股价波动风险及其结构关联

The Risk of Stock Price Volatility and Its Structural Association in the Spread of COVID-19

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