中美贸易摩擦对中国沪深股市行业板块的影响被引量：5

Impacts of the Sino-US trade friction on China’s Shanghai and Shenzhen stock sectors

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摘要以“2018年中美贸易摩擦事件”为时间节点,分别构建贸易摩擦前、后的中国沪深股市行业间风险溢出网络.基于多种网络中心性指标,构建反映行业风险传染及风险承受强度的综合指标.从行业间风险溢出效应、股市稳定性、网络结构变化等角度分析贸易摩擦对股市的影响,探究影响各行业风险传染(承受)强度的因素,并在贸易摩擦背景下识别影响行业网络变化的主要因素.研究表明:1)贸易摩擦事件促使股市系统性风险加剧及稳定性水平下降,并降低网络的鲁棒性;2)在短期内,贸易摩擦对网络稳定性具有决定性影响.在中长期上,贸易摩擦对网络稳定性的影响逐渐减弱,而宏观经济指标、汇率、货币政策等经济政策将逐渐主导网络稳定性的变化;3)贸易摩擦后,各行业的风险溢出效应发生不同程度的改变,影响各行业风险传染(承受)强度的因素也不尽相同.研究结论对我国金融监管部门进行宏观审慎管理、把控系统性风险、维护金融市场稳定性具有一定的参考价值. Taking the“Sino-US Trade Friction in 2018”as the demarcation point,the risk spillover networks between China's stock sectors before and after the trade friction are constructed,respectively.Multiple network-centrality indicators are used to construct the comprehensive indicators that reflect the risk contagion(tolerance)of stock sectors.Impacts of the Sino-US trade friction on China’s stock market have been studied from several perspectives.The results indicate the following.1)The trade friction has led to an increase in the systemic risk and a decline in the stability of China's stock market,and reduced the robustness of the sectoral networks.2)From a short-term perspective,the Sino-US trade friction has a decisive impact on the stability of the network.From a medium to long-term perspective,its impact on the network stability gradually weakens,and economic policies like macroeconomic indicators,exchange rates,and monetary policies will dominate the changes in network stability progressively.3)After the trade friction,the risk spillover effects of various industries have changed to varying degrees,and the main influencing factors are also different.The research conclusions can provide references for the financial regulatory authorities to conduct macroprudential management,control systemic risks,and maintain the financial market's stability.

作者李延双庄新田王健宫晓莉 LI Yan-shuang;ZHUANG Xin-tian;WANG Jian;GONG Xiao-li(School of Business Administration,Northeastern University,Shenyang 110169,China;School of Economics,Qingdao University,Qingdao 266061,China)

机构地区东北大学工商管理学院青岛大学经济学院

出处《管理科学学报》 CSSCI CSCD 北大核心 2021年第10期34-57,共24页 Journal of Management Sciences in China

基金国家自然科学基金资助项目(71671030,71571038,71971048) 中央高校基本科研业务费资助项目(N2006010) 辽宁省“兴辽英才”青年拔尖人才资助项目(XLYC1907015).

关键词中美贸易摩擦宏观审慎管理风险溢出网络系统性风险金融市场稳定性 Sino-US trade friction macroprudential management risk spillover network systemic risk financial market's stability

分类号 F830.91 [经济管理—金融学] F832.59 [经济管理—金融学]

作者简介通讯作者:王健(1980-),女,河北唐山人,博士,教授,博士生导师.Email:jwang@mail.neu.edu.cn。