管理评论

管理评论 ›› 2020, Vol. 32 ›› Issue (7): 102-110.

• 中国系统管理学专辑 • 上一篇    下一篇

全球股市间的相依结构与极值风险溢出：基于藤Copula的金融复杂性分析

何敏园1, 李红权2,3   

  1. 1. 湘南学院数学与金融学院, 郴州 423000;
    2. 湖南师范大学商学院, 长沙 410081;
    3. 宏观经济大数据挖掘与应用湖南省重点实验室, 长沙 410081
  • 收稿日期:2019-09-16 出版日期:2020-07-28 发布日期:2020-08-08
  • 通讯作者: 李红权(通讯作者),湖南师范大学商学院教授,博士生导师,博士,宏观经济大数据挖掘与应用湖南省重点实验室主任
  • 作者简介:何敏园,湘南学院数学与金融学院讲师,博士。
  • 基金资助:
    国家自然科学基金项目（71473081；71871092）；湖南省教育厅科学研究课题（17C1492）。

Dependent Structure and Extreme Risk Spillover of Global Stock Markets: Financial Complexity Analysis Based on Vine-Copula

He Minyuan1, Li Hongquan2,3   

  1. 1. School of Mathematics and Finance, Xiangnan University, Chenzhou 423000;
    2. School of Business, Hunan Normal University, Changsha 410081;
    3. Hunan Key Laboratory of Macroeconomic Big Data Mining and Its Application, Changsha 410081
  • Received:2019-09-16 Online:2020-07-28 Published:2020-08-08

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摘要： 随着经济全球化与金融一体化的发展，国际金融市场间的关联性日益增强，风险传染已然成为各方关注的焦点。本文旨在用Vine Copula方法揭示全球股市间的相依结构与极值风险溢出关系。具体而言，基于Vine Copula刻画国际股市间整体相依结构特征，然后用尾部相依性测度考察了股市间的极值风险溢出关系，结果表明：（1）国际股市间的相依结构呈现一定的经济体集聚特征，采用不同的Vine Copula模型其相依结构略有差异；（2）国际股市间存在非对称的尾部相依性，且下尾相依性普遍高于上尾相依性；（3）成熟市场对外的尾部相依性均值较高，新兴市场的较低，说明发达国家的金融市场在国际金融市场中仍占主导地位。本文揭示了全球金融市场关联图谱的重要节点和主要关系，这无论对于宏观审慎监管还是微观投资决策均有着重要的指导价值。

关键词: 金融复杂性, Vine Copula, 尾部相依性, 风险溢出

Abstract: With the development of economic globalization and financial integration, the correlation between international financial markets is increasing, and risk contagion has become a focus of attention for all parties. This paper aims to examine the dependent structure and the extreme risk spillover in global stock markets by using the method of Vine Copula. Specifically, this paper uses the Vine Copula to describe the overall dependent structure of the international stock markets, and then examines the extreme risk spillover among the stock markets by tail dependence measure. The conclusions are as follows:(1) The dependent structure of international stock markets presents some characteristics of economic agglomeration, and the dependent structure is slightly different with different Vine Copula models; (2) There is an asymmetric tail dependence between international stock markets, and the lower tail dependence is generally higher than that of the upper tail; (3) The average value of tail dependence in mature markets is relatively high, while that in emerging markets is low, indicating that the financial markets of developed countries still dominate the international financial markets. This paper reveals the important nodes and main relationships of the global financial market correlation map, which has important guiding value for both macro-prudential supervision and micro-investment decision-making.

Key words: financial complexity, Vine Copula, tail dependence, risk spillover