基于EVT-Copula-CoVaR模型的“一带一路”沿线国家股市风险溢出效应研究

被引：17

作者：

王皓晔 ^{[1
]}

杨坤 ^{[2
]}

机构：

[1] 成都理工大学管理科学学院

[2] 东南大学经济管理学院

来源：

金融发展研究 | 2019年 / 09期

关键词：

一带一路; 风险溢出; 条件风险价值; 极值理论; Copula;

D O I：

10.19647/j.cnki.37-1462/f.2019.09.011

中图分类号：

F224 [经济数学方法]; F831.51 [];

学科分类号：

0701 ; 070104 ;

摘要：

随着"一带一路"倡议的不断推进,沿线各国的经济融合度不断提高,资本流动规模的增大将对各国股市间的风险溢出造成重要影响。本文从"一带一路"倡议实施的角度,运用EVT-Copula-CoVaR模型对沿线国家间股市风险溢出进行刻画,从而探讨不同时期内各国股市间风险溢出状态的变化。研究结果表明:我国股票市场与沿线其他国家股票市场间具有双向的、非对称的风险溢出效应;"一带一路"倡议的推行增大了我国与沿线其他国家股市间的风险溢出强度,也就是说,当沿线其他国家股市处于极端风险情况时,我国股票市场受到冲击的概率将增大;倡议实施后,沿线东南亚国家对我国股市表现出了相对较高的风险溢出水平。

引用

页码：79 / 85

页数：7

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