系统管理学报2025，Vol.34Issue(2)：325-341,17.DOI:10.3969/j.issn2097-4558.2025.02.003
中国冶金产业链与泛能源市场间风险传染
Risk Contagion Between China's Metallurgical Industry Chain and Pan-Energy Market:A Volatility Spillover Network Perspective
摘要
Abstract
This paper explores the dynamics of volatility spillovers within a market system consisting of 28 market entities across four sectors of China's metallurgical industry chain and the pan-energy market.Utilizing daily data on industry indices and commodity prices from 2014 to 2023,the analysis employs the DY spillover network model in combination with graph theory,considering full-sample,rolling-window,and multi-time scales perspectives.The empirical results reveal that while overall volatility spillovers within the system are relatively modest,the spillover relationships between market entities are extensive.Specifically,the pan-energy sector serves as a net recipient of volatility spillovers,while the midstream and downstream sectors of the metallurgical industry chain act as net exporters,with spillover patterns exhibiting notable time-varying characteristics.The machinery and steel markets exhibit the highest magnitude of volatility spillover to neighboring markets,while zinc and coke markets demonstrate the most extensive contagion range in risk transmission.Spillovers are predominantly observed on medium-to-long-term time scales,with minimal effects detected on short-term time scales of five days or fewer.These findings contribute to a deeper understanding of systemic risk management within the metallurgical industry chain and pan-energy market.关键词
冶金产业链/泛能源市场/波动风险/DY溢出网络模型/图论理论Key words
metallurgical industry chain/pan-energy market/volatility risk/DY spillover network model/graph theory分类
管理科学引用本文复制引用
王彬洁,薛建豪,刘欣灵,戴星宇,单庄园,王群伟..中国冶金产业链与泛能源市场间风险传染[J].系统管理学报,2025,34(2):325-341,17.基金项目
国家社会科学基金资助项目(21&ZD110) （21&ZD110）
南京航空航天大学研究生科研与实践创新计划资助项目(xcxjh20240901) （xcxjh20240901）
