石油、黄金和股票市场的风险溢出与动态传导——基于隐含波动率的新视角

摘要/Abstract

摘要： 基于隐含波动率的新视角，首先采用前沿的风险溢出网络模型，全景式考察了石油、黄金与全球主要国家（地区）股票市场的风险溢出强度、规模及时变特征。其次，基于边际溢出分析方法，观测了石油、黄金与股票市场间的风险溢出的来源及动态传导路径。结果表明：石油、黄金与全球主要国家（地区）股票市场间具有显著、非对称的风险溢出效应，并在新冠疫情出现期间迅速增强，溢出指数达到峰值。石油、黄金市场是股票市场的重要风险来源，中国内地股票市场在一定程度上也成为风险输出者。在疫情出现后，尤其是美股前两次熔断期间，石油市场和巴西股市风险溢出强度骤增。而随着国内疫情得到有效控制，中国内地股票市场逐步转变为风险承担者。

关键词: 风险溢出, 动态传导, 溢出指数, 隐含波动率

Abstract: The outbreak of COVID-19 has had a systematic impact on global financial markets. Based on a new perspective of implied volatility, a cutting-edge risk spillover network model is adopted to comprehensively examine the intensity, scale, and time-varying characteristics of risk spillovers among oil, gold, and major global stock markets. Then, based on the marginal spillover analysis method, the sources and dynamic transmission paths of risk spillovers among oil, gold, and stock markets are observed. The results show that there is a significant and asymmetric risk spillover effect among global oil, gold and stock markets, and the effect increased rapidly in the COVID-19 period, during which the spillover index reached its peak. The oil and gold markets are important sources of risk in the stock market, and the mainland Chinese stock market is the most important exporter of risk. After the outbreak of the epidemic, especially during the first two circuit breakers in the US stock market, the intensity of risk spillovers in the oil market and the Brazilian stock market increased sharply. With the effective control of the domestic epidemic, the mainland Chinese stock market has gradually transformed into a risk-taker.

Key words: risk spillover, dynamic conduction, spillover index, implied volatility

贺蒙, 朱学红, 谌金宇, 廖建辉. 石油、黄金和股票市场的风险溢出与动态传导——基于隐含波动率的新视角[J]. 管理评论, 2025, 37(1): 3-15.

He Meng, Zhu Xuehong, Chen Jinyu, Liao Jianhui. Risk Spillover and Dynamic Conduction among Oil, Gold and Stock Markets: New Evidence from Implied Volatility[J]. Management Review, 2025, 37(1): 3-15.

参考文献

[1] Sharif A., Aloui C., Yarovaya L. COVID-19 Pandemic, Oil Prices, Stock Market, Geopolitical Risk and Policy Uncertainty Nexus in the US Economy:Fresh Evidence from the Wavelet-based Approach[J]. International Review of Financial Analysis, 2020,70:101496
[2] 杨子晖,陈雨恬,张平淼. 重大突发公共事件下的宏观经济冲击、金融风险传导与治理应对[J]. 管理世界, 2020,36(5):13-35 Yang Z. H., Chen Y. T., Zhang P. M. Macroeconomic Shock, Financial Risk Transmission and Governance Response to Major Public Emergencies[J]. Journal of Management World, 2020,36(5):13-35
[3] Abuzayed B., Bouri E., Al-Fayoumi N., et al. Systemic Risk Spillover across Global and Country Stock Markets during the COVID-19 Pandemic[J]. Economic Analysis and Policy, 2021,71:180-197
[4] 杨子晖,王姝黛. 突发公共卫生事件下的全球股市系统性金融风险传染——来自新冠疫情的证据[J]. 经济研究, 2021,56(8):22-38 Yang Z. H., Wang S. D. Systemic Financial Risk Contagion of Global Stock Market under Public Health Emergency:Empirical Evidence from COVID-19 Epidemic[J]. Economic Research Journal, 2021,56(8):22-38
[5] Mensi W., Rababa'a A. R. A., Vo X. V., et al. Asymmetric Spillover and Network Connectedness between Crude Oil, Gold, and Chinese Sector Stock Markets[J]. Energy Economics, 2021,98:105262
[6] 戴志锋,朱皓阳,尹华. 我国石油、黄金、房地产和金融部门间系统风险动态溢出效应研究[J]. 系统工程理论与实践, 2022,42(10):2603-2616 Dai Z. F., Zhu H. Y., Yin H. Research on the System Risk Spillover Effects among Crude Oil, Gold, Estate and Financial Sectors in China[J]. Systems Engineering-Theory & Practice, 2022,42(10):2603-2616
[7] 杨子晖,陈雨恬,林师涵. 系统性金融风险文献综述:现状、发展与展望[J]. 金融研究, 2022,(1):185-206 Yang Z. H., Chen Y. T., Lin S. H. A Literature Review of Systemic Risk:Status, Development and Prospect[J]. Journal of Financial Research, 2022,(1):185-206
[8] Jesus D., Besarria C., Felipe B. The Non-linear Relationship between Oil Prices and Stock Prices:Evidence from Oil-importing and Oil-exporting Countries[J]. Research in International Business and Finance, 2020,54:101229
[9] Malik F., Hammoudeh S. Shock and Volatility Transmission in the Oil, US and Gulf Equity Markets[J]. International Review of Economics & Finance, 2007,16(3):357-368
[10] 王鹏,蒋焰,吴金宴. 原油价格与世界股票市场之间的高阶矩相依性研究[J]. 管理科学, 2017,30(3):136-146 Wang P., Jiang Y., Wu J. Y. Dependence of Higher Moments between Oil Price and International Stock Markets[J]. Journal of Management Science, 2017,30(3):136-146
[11] Xu W., Ma F., Chen W., et al. Asymmetric Volatility Spillovers between Oil and Stock Markets:Evidence from China and the United States[J]. Energy Economics, 2019,80:310-320
[12] Tian M., Alshater M. M., Yoon S. M. Dynamic Risk Spillovers from Oil to Stock Markets:Fresh Evidence from GARCH Copula Quantile Regression-Based CoVaR Model[J]. Energy Economics, 2022,115:106341
[13] Souček M. Crude Oil, Equity and Gold Futures Open Interest Co-movements[J]. Energy Economics, 2013,40:306-315
[14] Anand R., Madhogaria S. Is Gold a 'Safe-Haven'? An Econometric Analysis[J]. Procedia Economics and Finance, 2012,1:24-33
[15] 闻岳春,王婕,程天笑. 国内股市与国际股市、大宗商品市场的溢出效应研究[J]. 国际金融研究, 2015,(8):31-43 Wen Y. C., Wang J., Cheng T. X. Research on the Spillover Effect among China's Stock Market, International Stock Market and Commodity Market[J]. Studies of International Finance, 2015,(8):31-43
[16] 董杰,潘和平,姚一永,等. 基于DCC-MVGARCH模型的石油、股票和黄金市场相关性实证研究[J]. 预测, 2012,31(4):53-57 Dong J., Pan H. P., Yao Y. Y., et al. Empirical Study on the Correlation of Oil, Stock and Gold Markets Based on DCC-MVGARCH Model[J]. Forecasting, 2012,31(4):53-57
[17] Pandey V., Vipul. Volatility Spillover from Crude Oil and Gold to BRICS Equity Markets[J]. Journal of Economic Studies, 2018,45(2):426-440
[18] Raza N., Shahzad S. J. H., Tiwari A. K., et al. Asymmetric Impact of Gold, Oil Prices and Their Volatilities on Stock Prices of Emerging Markets[J]. Resources Policy, 2016,49:290-301
[19] Malik F., Ewing B. T. Volatility Transmission between Oil Prices and Equity Sector Returns[J]. International Review of Financial Analysis, 2009,18(3):95-100
[20] Basher S. A., Sadorsky P. Hedging Emerging Market Stock Prices with Oil, Gold, VIX, and Bonds:A Comparison between DCC, ADCC and GO-GARCH[J]. Energy Economics, 2016,54:235-247
[21] Yun X., Yoon S. M. Impact of Oil Price Change on Airline's Stock Price and Volatility:Evidence from China and South Korea[J]. Energy Economics, 2019,78:668-679
[22] 杨光,张丁漩,魏云捷. 基于EMD-BEKK-GARCH模型的有色金属股票市场波动溢出研究[J]. 管理评论, 2022,34(12):39-48 Yang G., Zhang D. X., Wei Y. J. An Empirical Study on Volatility Spillover of Non-ferrous Metal Stock Market Based on EMD-BEKK-GARCH Model[J]. Management Review, 2022,34(12):39-48
[23] Singh P., Kumar B., Pandey A. Price and Volatility Spillovers across North American, European and Asian Stock Markets[J]. International Review of Financial Analysis, 2010,19(1):55-64
[24] 黄薏舟,王雪. 波动率预测:多元GARCH模型能战胜一元GARCH模型吗?——二元DCC-GARCH模型与一元GARCH模型的PK[J]. 系统工程, 2023,41(2):125-134 Huang Y. Z., Wang X. Volatility Forecasting:Can Multivariate GARCH Model Beat Unitary GARCH Model-PK of Binary DCC-GARCH Model and Unitary GARCH Model[J]. System Engineering, 2023,41(2):125-134
[25] 柴建,林婕,梁婷. 北美市场原油和天然气联动性研究——基于贝叶斯DCC-GARCH和LSTAR模型的实证分析[J]. 管理评论, 2021,33(7):16-28 Chai J., Lin J., Liang T. A Study of Linkage between Crude Oil and Natural Gas in North American Market:Based on the Empirical Analysis of Bayesian DCC-GARCH Model and LSTAR Model[J]. Management Review, 2021,33(7):16-28
[26] Diebold F. X., Yilmaz K. On the Network Topology of Variance Decompositions:Measuring the Connectedness of Financial Firms[J]. Journal of Econometrics, 2014,182(1):119-134
[27] 王奇珍,王玉东. 国际油价、美国经济不确定性和中国股市的波动溢出效应研究[J]. 中国管理科学, 2018,26(11):50-61 Wang Q. Z., Wang Y. D. International Transmission of Volatility among Crude Oil Prices, Economic Uncertainty and the Stock Market[J]. Chinese Journal of Management Science, 2018,26(11):50-61
[28] 杨子晖,陈雨恬,谢锐楷. 我国金融机构系统性金融风险度量与跨部门风险溢出效应研究[J]. 金融研究, 2018,(10):19-37 Yang Z. H., Chen Y. T., Xie R. K. Research on Systemic Risk Measures and Cross-sector Risk Spillover Effect of Financial Institutions in China[J]. Journal of Financial Research, 2018,(10):19-37
[29] 李晓广,张岩贵. 我国股票市场与国际市场的联动性研究——对次贷危机时期样本的分析[J]. 国际金融研究, 2008,(11):75-80 Li X. G., Zhang Y. G. A Study on Linkage between China and Foreign Stock Markets[J]. Studies of International Finance, 2008,(11):75-80
[30] 李红权,洪永淼,汪寿阳. 我国A股市场与美股、港股的互动关系研究:基于信息溢出视角[J]. 经济研究, 2011,46(8):15-25 Li H. Q., Hong Y. M., Wang S. Y. Information Spillover among China's A-shares Market, US Stock Market and HK Stock Market[J]. Economic Research Journal, 2011,46(8):15-25
[31] Fang Y., Shao Z., Zhao Y. Risk Spillovers in Global Financial Markets:Evidence from the COVID-19 Crisis[J]. International Review of Economics & Finance, 2023,83:821-840
[32] Liu Z., Tseng H. K., Wu J. S., et al. Implied Volatility Relationships between Crude Oil and the U.S. Stock Markets:Dynamic Correlation and Spillover Effects[J]. Resources Policy, 2020,66:101637
[33] 金洪飞,金荦. 石油价格与股票市场的溢出效应——基于中美数据的比较分析[J]. 金融研究, 2008,(2):83-97 Jin H. F., Jin L. The Spillover between Stock Markets and International Oil Market:The Comparative Analysis on China and USA[J]. Journal of Financial Research, 2008,(2):83-97
[34] 李成,马文涛,王彬. 我国金融市场间溢出效应研究——基于四元VAR-GARCH(1,1)-BEKK模型的分析[J]. 数量经济技术经济研究, 2010,27(6):3-19 Li C., Ma W. T., Wang B. Research on Spillover Effect within Financial Markets[J]. Journal of Quantitative & Technological Economics, 2010,27(6):3-19
[35] 钟婉玲,李海奇. 国际油价、宏观经济变量与中国股市的尾部风险溢出效应研究[J]. 中国管理科学, 2022,30(2):27-37 Zhong W. L., Li H. Q. Tail Risk Spillover Effects among Crude Oil Price, Macroeconomic Variables and China's Stock Market[J]. Chinese Journal of Management Science, 2022,30(2):27-37
[36] Lee C. C., Zhou H., Xu C., et al. Dynamic Spillover Effects among International Crude Oil Markets from the Time-Frequency Perspective[J]. Resources Policy, 2023,80:103218
[37] 杨子晖,周颖刚. 全球系统性金融风险溢出与外部冲击[J]. 中国社会科学, 2018,(12):69-90 Yang Z. H., Zhou Y. G. Global Systemic Financial Risk Spillovers and Their External Impact[J]. Social Sciences in China, 2018,(12):69-90
[38] Yang Z., Zhou Y. Quantitative Easing and Volatility Spillovers across Countries and Asset Classes[J]. Management Science, 2017,63(2):333-354
[39] 龚旭,曹杰,文凤华,等. 基于杠杆效应和结构突变的HAR族模型及其对股市波动率的预测研究[J]. 系统工程理论与实践, 2020,40(5):1113-1133 Gong X., Cao J., Wen F. H., et al. The Har Type Models with Leverage and Structural Breaks and Their Applications to the Volatility Forecasting of Stock Market[J]. Systems Engineering-Theory & Practice, 2020,40(5):1113-1133
[40] 姬强,范英. 次贷危机前后国际原油市场与中美股票市场间的协动性研究[J]. 中国管理科学, 2010,18(6):42-50 Ji Q., Fan Y. Analysis of the Movement between International Cruise Oil Market and China and U.S. Stock Market Before and After the U.S. Subprime Crisis[J]. Chinese Journal of Management Science, 2010,18(6):42-50
[41] 黄创霞,温石刚,杨鑫,等. 个体投资者情绪与股票价格行为的互动关系研究[J]. 中国管理科学, 2020,28(3):191-200 Huang C. X., Wen S. G., Yang X., et al. The Interactive Relationship between Individual Investors Sentiment and Stock Price Behaviors[J]. Chinese Journal of Management Science, 2020,28(3):191-200
[42] 孙书娜,孙谦. 投资者关注和股市表现——基于雪球关注度的研究[J]. 管理科学学报, 2018,21(6):60-71 Sun S. N., Sun Q. Investor Attention and Market Performance:Evidence Based on "Xueqiu Attention"[J]. Journal of Management Sciences in China, 2018,21(6):60-71
[43] 李政,梁琪,方意. 中国金融部门间系统性风险溢出的监测预警研究——基于下行和上行△CoES指标的实现与优化[J]. 金融研究, 2019,(2):40-58 Li Z., Liang Q., Fang Y. Monitoring and Forecasting of Systemic Risk Spillover in China's Financial Sector Based on Modified CoES Indicators[J]. Journal of Financial Research, 2019,(2):40-58