金融学季刊

本文通过构建成分预期损失CES对我国股票市场行业风险对市场整体风险的系统性影响的绝对贡献进行了测度,结合中美贸易摩擦关税加征和MSCI指数纳入A股事件背景,运用TVP-SV-VAR模型实证研究了境外资金流入与人民币汇率波动与我国股票市场行业系统性风险溢出的均值水平、波动性变化及不同时期、不同事件发生节点的时变关联特征和相应的冲击效应。结论表明:各行业对整体市场风险的贡献程度具有差异性,其中制造业、金融业和信息技术业是市场中的重要风险来源,在市场不同行情下各行业CES均值水平和波动状况明显不同;当境外资金流入存在冲击时,由于市场波动性增强以及各行业相对市值权重和尾部预期发生改变,各行业系统性风险溢出水平出现差异变化,人民币汇率升值压力升高加剧了对这一影响的效果。

This paper uses Component Expected Shortfall as the measurement of sectoral risk systemic contribution in the Chinese stock market. In the context of the Sino US trade friction and the A-share included in MSCI index events, this paper empirically studies the mean level, volatility change, time-varying correlation characteristics and impact effects of foreign capital inflow and RMB exchange rate fluctuation on the systemic effect of sectoral risk in China's stock market. The study results show that: The contribution of risk from different industries to the overall market is different, among which manufacturing, finance and information technology sectors are important sources, and the average level and fluctuation of CES in different sectors are significantly various in different market cycles. When there is an impact on the inflow of foreign capital, the level of CES in various industries will be affected due to the increase of market volatility in the short term. There is differential variation of sectoral risk systematic effect in different industries due to the change of relative market value and tail expectation in the medium and long term, and the rising pressure of RMB exchange rate could aggravate the effect.