哪些行业承载来自上海原油期货市场更多的风险溢出

摘要/Abstract

摘要： 自2018年建立以来,上海原油期货市场与我国股市风险波动的联动愈发明显。不同于以往更关注整体股市的研究,本文从行业维度出发,探究上海原油期货市场对我国各行业的风险溢出效应。选取2019年9月1日到2022年9月1日期间上海证券市场十个一级行业指数的5分钟收益率数据,引入GAS模型弥补GARCH类模型的不足,并建立MIDAS-Copula-CoVaR模型对各行业的条件风险以及承载的风险溢出强度进行度量。结果表明:第一,含有MIDAS结构的Copula模型拟合效果更好,充分说明纳入高频数据的重要性。第二,上海原油期货市场风险条件下各行业的上行风险明显大于下行风险,呈现出较为明显的非对称性,说明各行业风险对油价上涨更敏感。第三,分行业看,上海原油期货价格下跌对能源行业影响最大、公用行业影响最小,价格上涨对医药行业影响最大、金融行业影响最小。第四,相较于正常情况,极端上行风险对医药行业的风险溢出强度最大、对消费行业最小,极端下行风险对可选行业的风险溢出强度最大、对金融行业最小。

关键词: 上海原油期货市场, GAS模型, 混频数据抽样, 风险溢出效应

Abstract: Since its establishment in 2018, the association between the Shanghai crude oil futures market and the risk volatility of China’s stock market has become more and more obvious. Different from previous studies that focus more on the overall stock market, we investigate the risk spillover effects from the Shanghai crude oil futures market to the industries in China from the industry dimension in this paper. The 5-minute returns of ten first-level industry indices of the Shanghai Stock Exchange for the period from September 1, 2019, to September 1, 2022, are selected, we introduce the GAS model to make up for the shortcomings of the GARCHs model, and we establish the MIDAS-Copula-CoVaR model to measure the conditional risk of each industry as well as the risk spillover effects it carries. The results show that, first, the Copula model containing the MIDAS structure fits better, which fully demonstrates the importance of incorporating high-frequency data. Second, the upside risk of each industry conditional on the Shanghai crude oil futures market is significantly larger than the downside risk, showing a more obvious asymmetry, which indicates that the oil price increases have a greater impact on each industry. Third, in terms of industries, the falling Shanghai crude oil futures prices have the greatest impact on the energy industry and the smallest impact on the utility industry, while rising prices have the greatest impact on the medical industry and the smallest impact on the financial industry. Fourth, compared to normal cases, extreme upside risk has the largest risk spillovers for the medical industry and the smallest for the consumer industry, and extreme downside risk has the largest risk spillovers for the optional industry and the smallest for the financial industry.

Key words: hanghai crude oil futures market, GAS model, mixed Data sampling, risk spillovers

中图分类号:

F830

宋加山, 魏思峣, 蒋坤良. 哪些行业承载来自上海原油期货市场更多的风险溢出[J]. 贵州财经大学学报, 2023(06): 11-21.

SONG Jiashan, WEI Siyao, JIANG Kunliang. Which industries are affected by risk spillovers from the Shanghai crude oil futures market more[J]. Journal of Guizhou University of Finance and Economics, 2023(06): 11-21.

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