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中国股票市场行业间波动溢出效应的特征与动态演变

Characteristics and dynamic evolution of inter-industry volatility spillovers in China's stock market.

作者信息

Xie Fusheng, Wei Hongjie

机构信息

Business School, Shanghai Normal University Tianhua College, Shanghai, China.

China Aluminum International Trading Group Co., Ltd, Shanghai, China.

出版信息

PLoS One. 2025 Sep 5;20(9):e0330599. doi: 10.1371/journal.pone.0330599. eCollection 2025.

DOI:10.1371/journal.pone.0330599
PMID:40911563
原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC12412994/
Abstract

This study examines the volatility connectedness across 28 sectors in the Chinese stock market, aiming to discern the risk spillovers and their implications for financial security and economic stability. Employing a network connectedness approach, we analyze the volatility connectedness's characteristics and dynamic evolution among various sectors. The findings indicate that manufacturing industries exhibit a high degree of correlation among themselves and predominantly function as exporters of risk spillovers. Conversely, the financial industry emerges as a primary recipient, characterized by a relatively low correlation to other sectors. During the COVID-19 epidemic, risk correlation within China's stock market sectors experienced an increase, which, however, did not persist as the epidemic progressed. Furthermore, the conflict between Russia and Ukraine exerted a limited contagion effect on China's stock market risks. These insights offer valuable guidance for China in managing economic and financial risks more effectively.

摘要

本研究考察了中国股票市场28个行业的波动连通性，旨在识别风险溢出及其对金融安全和经济稳定的影响。采用网络连通性方法，我们分析了各行业间波动连通性的特征和动态演变。研究结果表明，制造业内部表现出高度相关性，且主要充当风险溢出的输出方。相反，金融业则是主要的接受方，其与其他行业的相关性相对较低。在新冠疫情期间，中国股票市场各行业内部的风险相关性有所上升，但随着疫情的发展，这种上升并未持续。此外，俄乌冲突对中国股票市场风险的传染效应有限。这些见解为中国更有效地管理经济和金融风险提供了有价值的指导。

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本文引用的文献

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PLoS One. 2024 Mar 15;19(3):e0295575. doi: 10.1371/journal.pone.0295575. eCollection 2024.
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