财经理论与实践2026，Vol.47Issue(4)：61-68,8.DOI:10.16339/j.cnki.hdxbcjb.2026.04.008
多层网络视角下中美股市风险溢出效应
Risk Spillovers in China and U.S.Stock Markets from a Multilayer Network Perspective:An Empirical Analysis based on Generalized Forecast Error Variance Decomposition
摘要
Abstract
Based on the weekly closing prices of 11 Sectors in both the Chinese and U.S.stock markets from 2012 to 2024,we construct a multilayer network model using the generalized fore-cast error variance decomposition model to quantify risk spillover effects and identify critical transmission pathways between these two markets.The result shows that risk spillover effects intensified significantly under global external shocks such as the COVID-19 pandemic and geopo-litical conflicts,whereas they weakened during bilateral economic disputes like the Sino-U.S.trade friction;the distribution of risk spillovers exhibits asymmetric characteristics,whereby in-tralayer spillovers significantly exceed interlayer spillovers-the average intensity of the latter is only 17.7％of the former;and interlayer risk spillovers demonstrate heterogeneity at the sector-level:China's Industrials,Finance,and Materials sectors dominate the net interlayer spillovers from China to the U.S.,while U.S.Industrials,Consumer Discretionary,and Materials sectors act as the primary interlayer risk transmitters of the reverse direction.Consequently,targeted monitoring of international risk spillovers should be enhanced for pivotal sectors(e.g.,Industri-als and Finance)to bolster the resilience and stability of the financial system.关键词
中美股市/风险溢出/多层网络/广义预测误差方差分解Key words
China and U.S.stock markets/risk spillover/multilayer network/GFEVD分类
管理科学引用本文复制引用
王纲金,欧阳英博..多层网络视角下中美股市风险溢出效应[J].财经理论与实践,2026,47(4):61-68,8.基金项目
国家自然科学基金项目(72271087) （72271087）
国家社会科学基金重大项目(24&ZD090) （24&ZD090）
