中国股票市场的行业关联性
Sector connectedness in the Chinese stock markets
摘要：
揭示中国经济部门内部的风险传导路径对于理解中国经济体系的稳定性至关重要，特别是在当前中美贸易冲突的情况下。本文利用股票市场的数据，从行业内波动溢出的角度揭示了中国股票市场的风险传播渠道。通过运用基于VAR模型的广义方差分解框架和滚动窗口方法，得到了一组反映行业内总体和动态溢出的连通性矩阵。研究发现，在整个时间段内，17个行业（机械设备、电气设备、公用事业等）是风险传递者，11个行业（国防、银行、非银行金融等）是风险承担者。在极端风险事件（全球金融危机、中国银行间流动性危机、中国股票市场暴跌、中美贸易战）发生期间，我们观察到，连通性措施显著增加，金融部门在稳定经济体系方面发挥了缓冲作用。稳健性检验表明，我们的结果对模型参数的变化不敏感。我们的研究结果不仅揭示了中国板块内部的溢出效应，而且突出了对中国股票市场风险传染模式的深刻理解。
英文摘要：
Uncovering the risk transmitting path within economic sectors in China is crucial for understanding the stability of the Chinese economic system, especially under the current situation of the China-US trade conflicts. In this paper, we try to uncover the risk spreading channels by means of volatility spillovers within the Chinese sectors using stock market data. By applying the generalized variance decomposition framework based on the VAR model and the rolling window approach, a set of connectedness matrices is obtained to reveal the overall and dynamic spillovers within sectors. It is found that 17 sectors (mechanical equipment, electrical equipment, utilities, and so on) are risk transmitters and 11 sectors (national defence, bank, non-bank finance, and so on) are risk takers during the whole period. During the periods with the extreme risk events (the global financial crisis, the Chinese interbank liquidity crisis, the Chinese stock market plunge, and the China-US trade war), we observe that the connectedness measures significantly increase and the financial sectors play a buffer role in stabilizing the economic system. The robust tests suggest that our results are not sensitive to the changes of model parameters. Our results not only uncover the spillover effects within the Chinese sectors, but also highlight the deep understanding of the risk contagion patterns in the Chinese stock markets.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
