中国金融机构波动溢出动态关联网络研究

doi:10.12068/j.issn.1005-3026.2019.04.027

东北大学学报:自然科学版 ›› 2019, Vol. 40 ›› Issue (4): 596-601.DOI: 10.12068/j.issn.1005-3026.2019.04.027

中国金融机构波动溢出动态关联网络研究

黄玮强¹，李方¹，姚爽²

(1. 东北大学工商管理学院，辽宁沈阳110169; 2. 沈阳化工大学经济与管理学院，辽宁沈阳110142)

收稿日期:2018-01-30 修回日期:2018-01-30 出版日期:2019-04-15 发布日期:2019-04-26
通讯作者: 黄玮强
作者简介:黄玮强(1982-)，男，福建长汀人，东北大学副教授，博士生导师.
基金资助:
国家自然科学基金资助项目(71771042; 71371044); 教育部人文社会科学研究资助项目(18YJCZH224).

Dynamic Volatility Spillover Network of Chinese Financial Institutions

HUANG Wei-qiang¹， LI Fang¹， YAO Shuang²

1. School of Business Administration， Northeastern University， Shenyang 110169， China; 2. School of Economics and Management， Shenyang University of Chemical Technology， Shenyang 110142， China.

Received:2018-01-30 Revised:2018-01-30 Online:2019-04-15 Published:2019-04-26
Contact: HUANG Wei-qiang
About author:-
Supported by:
-

摘要/Abstract

摘要： 基于VAR-GARCH-BEKK模型，构建金融机构波动溢出动态关联网络，分析网络的关联拓扑结构指标，挖掘金融行业间的波动溢出动态关联规律.结果表明:银行业内部金融机构间的波动溢出水平比较稳定;绝大多数时期，银行业和证券业金融机构在网络中表现为独立的关联“社团”;从受到外部波动溢出影响方面看，证券业的平均系统关联最强，信托业的平均跨行业关联最强;从对外波动溢出影响方面看，各行业的平均系统关联强弱差异不大，保险业的平均跨行业关联最强;从网络总体“嵌入”程度看，信托业的平均系统关联及跨行业关联均最强，其网络“嵌入”程度最深.

关键词: 波动溢出网络, 关联分析, 金融机构, 金融行业, 网络拓扑结构

Abstract: A dynamic volatility spillover network of financial institutions was constructed on the basis of the VAR-GARCH-BEKK model， whose associated topology indicators were analyzed， and the dynamic correlation laws of volatility spillover between financial industries were investigated. The results showed that the volatility spillover levels are more stable in the bank industry than those in other industries. During most of the periods， the banks and security companies form independent correlated communities. From the perspective of receiving volatility spillover， the security industry has the strongest average systemic correlation， and the trust industry has the strongest average inter-industry correlation. From the perspective of sending volatility spillover， the insurance industry has the strongest average inter-industry correlation， and the average systemic correlations are not significantly different among different industries. From the perspective of network embeddedness， the trust industry has the strongest average systemic correlation and inter-industry average correlation， whose embeddedness is the greatest.

Key words: volatility spillover network, correlation analysis, financial institution, financial industry, network topology structure

中图分类号:

F830.91

黄玮强，李方，姚爽. 中国金融机构波动溢出动态关联网络研究[J]. 东北大学学报:自然科学版, 2019, 40(4): 596-601.

HUANG Wei-qiang， LI Fang， YAO Shuang. Dynamic Volatility Spillover Network of Chinese Financial Institutions[J]. Journal of Northeastern University Natural Science, 2019, 40(4): 596-601.

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中国金融机构波动溢出动态关联网络研究

Dynamic Volatility Spillover Network of Chinese Financial Institutions

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