证券市场导报Issue(7)：57-67,79,12.
资本市场系统性风险监测及风险跨市场溢出研究
摘要
Abstract
This paper constructs a capital market financial stress index by selecting indicators from four markets,including the stock market,bond market,derivative market,and foreign exchange market to measure systemic risks in China's capital market dynamically.On this basis,we investigate the cross-market risk spillover effect among the four sub-markets from both time domain and frequency domain perspectives.The research results are summarized as follows.(1)The capital market stress index constructed in this paper can accurately identify major risk events within the sample period.(2)Extreme shocks lead to an increase in risk spillover levels,and the roles played by each sub-market in risk spillover are different and time-varying.(3)Based on the magnitude,direction,and short-term and long-term structure of risk spillover,we can effectively identify the dynamic evolution process and driving factors of systemic risks.The research has important value for improving the dynamic monitoring system of capital market risks.关键词
系统性风险/资本市场压力指数/跨市场风险溢出/时域和频域Key words
systemic risks/capital market financial stress index/cross-market risk spillover/time domain and frequency domain分类
管理科学引用本文复制引用
张宗新,黄梓健..资本市场系统性风险监测及风险跨市场溢出研究[J].证券市场导报,2024,(7):57-67,79,12.基金项目
国家自然科学基金面上项目"基于机器学习算法优化的中国资本市场系统性风险监測、预警与管控研究"(72073035) （72073035）
