中国股票市场金融传染及渠道——基于行业数据的实证研究
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摘要
利用变结构因子模型研究自2000年5月30日至2015年6月11日期间我国股票市场经历的三次剧烈波动时段中的金融传染问题,并分析这三次异常时段传染渠道的差异.本研究证实:1)三次异常时段我国股票市场均存在明显的金融传染,尤其大跌时段的传染更强.各行业的传染程度差异较大,银行和多元金融两个行业传染最为严重. 2)传染主要源于本地因子和潜在因子,但在2007年～2008年大跌时段受全球因子的传染明显增加. 3)通过分时段对比29种传染渠道发现:总体经济和货币政策的渠道体现的传染明显,而财政政策渠道体现的传染有一定的滞后性,对外开放渠道在大跌时段体现的传染显著加强,另外银行和金融类的渠道显示近年来我国金融业的发展增大了我国股市的金融传染.股市大涨时段需要关注国内经济指标的异动,而大跌时段则要加强对金融中介的监控和对外开放渠道的监管.
Financial contagion in China's stock market during three drastic volatile time windows,from May30,2000 to June 11,2015,is investigated by using the factor modelling methodology. Evidences of financial contagion in all of these three abnormal periods are found,especially during the crash. The characteristics of contagions are different among industries. The banking sector and multiple financial sector exhibit more contagions. A large part of contagions are resulted from domestic factors and latent factors,although the contagion through global factors became more significant during the crash. Further,contagion channels are different among industries. The channels of general economic and monetary policy seem to transmit more contagions among the industries of China's stock market,and the effect of fiscal policy channel is always delayed. The openness channel becomes more significant in explaining the contagion during the crash,and the development of the financial industry may result in more contagions in Chinese stock market.
Financial contagion in China's stock market during three drastic volatile time windows,from May30,2000 to June 11,2015,is investigated by using the factor modelling methodology. Evidences of financial contagion in all of these three abnormal periods are found,especially during the crash. The characteristics of contagions are different among industries. The banking sector and multiple financial sector exhibit more contagions. A large part of contagions are resulted from domestic factors and latent factors,although the contagion through global factors became more significant during the crash. Further,contagion channels are different among industries. The channels of general economic and monetary policy seem to transmit more contagions among the industries of China's stock market,and the effect of fiscal policy channel is always delayed. The openness channel becomes more significant in explaining the contagion during the crash,and the development of the financial industry may result in more contagions in Chinese stock market.
引文
[1]金德尔伯格查尔斯P,阿利伯罗伯特Z.疯狂、惊恐和崩溃——金融危机史[M].北京:中国金融出版社,2011.Kindleberger C P,Aliber R Z. Manias,Panics and Crashes:A History of Financial Crises[M]. Basingstroke:Palgrave Macmillan Press,2011.(in Chinese)
[2]Allen F,Gale D. Financial contagion[J]. Journal of Political Economy,2000,108(1):1-33.
[3]Kodres L E,Pritsker M. A rational expectations model of financial contagion[J]. Journal of Finance,2002,57(2):769-799.
[4]Hamao Y,Masulis R W,Ng V. Correlations in price changes and volatility across international stock markets[J]. Review of Financial Studies,1990,3(2):281-307.
[5]Diebold F X,Yilmaz K. Measuring financial asset return and volatility spillovers,with application to global equity markets[J]. The Economic Journal,2009,119(534):158-171.
[6]赵留彦,王一鸣. A、B股之间的信息流动与波动溢出[J].金融研究,2003,(10):37-52.Zhao Liuyan,Wang Yiming. The asymmetry and volatility spillover of A share verse B share[J]. Journal of Financial Research,2003,(10):37-52.(in Chinese)
[7]李成,马文涛,王彬.我国金融市场间溢出效应研究——基于四元VAR-GARCH(1,1)-BEKK模型的分析[J].数量经济技术经济研究,2010,(6):3-19.Li Cheng,Ma Wentao,Wang Bin. Research on spillover effect within financial markets:Based on VAR-GARCH(1,1)-BEKK Model[J]. Journal of Quantitative&Technical Economics,2010,(6):3-19.(in Chinese)
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[10]Bekaert G,Harvey C R,Ng A. Market integration and contagion[J]. Journal of Business,2005,78(1):39-69.
[11]Bekaert G,Ehrmann M,Fratzscher M,et al. The global crisis and equity market contagion[J]. Journal of Finance,2014,69(6):2597-2649.
[12]Kaminsky G,Lyons R K,Schmukler S. Managers,investors,and crises:Investment strategies of mutual funds[J]. Journal of International Economics,2004,64(1):113-134.
[13]Minsky H P. Stabilizing an Unstable Economy[M]. New York:McGraw-Hill,1986.
[14]韦艳华,齐树天.亚洲新兴市场金融危机传染问题研究——基于Copula理论的检验方法[J].国际金融研究,2008,(9):22-29.Wei Yanhua,Qi Shutian. The financial crisis contagion among Asian emerging market[J]. Studies of International Finance,2008,(9):22-29.(in Chinese)
[15]Connor G. The three types of factor models:A comparison of their explanatory power[J]. Financial Analysts Journal,1995,51(3):42-46.
[16]Ang A,Bekaert G. How regimes affect asset allocation[J]. Financial Analysts Journal,2004,60(2):86-99.
[17]Ferson W E,Harvey C R. The variation of economic risk premiums[J]. Journal of Political Economy,1991:385-415.
[18]董青马,卢满生.金融开放度与发展程度差异对银行危机生成机制影响的实证分析[J].国际金融研究,2010,(6):79-85.Dong Qingma,Lu Mansheng. Formation mechanism of banking crises with different levels of financial openness and development[J]. Studies of International Finance,2010,(6):79-85.(in Chinese)
[19]Kaminsky G L,Reinhart C M. On crises,contagion,and confusion[J]. Journal of international Economics,2000,51(1):145-168.
[20]Brière M,Chapelle A,Szafarz A. No contagion,only globalization and flight to quality[J]. Journal of International Money and Finance,2012,31(6):1729-1744.
[21]Dumas B,Solnik B. The world price of foreign exchange risk[J]. Journal of Finance,1995,50(2):445-479.
[22]夏南新.国际金融市场波动非线性因果性和溢出效应[J].管理科学学报,2016,19(3):64-76.Xia Nanxin. Nonlinear causality and spillover effect of volatility of international finance market[J]. Journal of Management Sciences in China,2016,19(3):64-76.(in Chinese)
[23]沈传河,王向荣.金融市场联动形态结构的非线性分析[J].管理科学学报,2015,18(2):66-75.Shen Chuanhe,Wang Xiangrong. Nonlinear analysis on the pattern structures of connection between financial markets[J].Journal of Management Sciences in China,2015,18(2):66-75.(in Chinese)
[24]宋凌峰,阳浪.经济下行、信用风险反馈和政府隐性救助[J].管理科学学报,2016,19(11):103-113.Song Lingfeng,Yang Lang. Economic downturn,credit risk feedback and government implicit bailout[J]. Journal of Management Sciences in China,2016,19(11):103-113.(in Chinese)
[25]Barrell R,Davis E P. Policy design and macroeconomic stability in Europe[J]. National Institute Economic Review,2005,191(1):94-105.
[26]Basu R. Financial Contagion and Investor“learning”:An Empirical Investigation[R]. Washington:International Monetary Fund(IMF)Working Paper,2002,No. 02/218.
[27]Kibrit9iogˇlu A. Excessive risk-taking,banking sector fragility,and banking crises[J]. University of Illinois at UrbanaChampaign,Illinois:Commerce and Bus. Admin,Working Paper,2002(02-0114).
[28]Brunnermeier M K,Pedersen L H. Market liquidity and funding liquidity[J]. Review of Financial Studies,2009,22(6):2201-2238.
[29]Goldsteina I,Pauzner A. Contagion of self-fulfilling financial crises due to diversification of investment portfolios[J]. Journal of Economic Theory,2004,119(1):151-183.
[30]Baker M,Wurgler J. Investor sentiment and the cross-section of stock returns[J]. Journal of Finance,2006,61(4):1645-1680.
[31]Yu J,Yuan Y. Investor sentiment and the mean-variance relation[J]. Journal of Financial Economics,2011,100(2):367-381.
[32]俞红海,李心丹,耿子扬.投资者情绪、意见分歧与中国股IPO之谜[J].管理科学学报,2015,18(3):78-89.Yu Honghai,Li Xindan,Geng Ziyang. Investor sentiment,disagreement and IPO puzzle in China’s stock market[J]. Journal of Management Sciences in China,2015,18(3):78-89.(in Chinese)
[33]Bekaert G,Harvey C R,Lundblad C T,et al. What segments equity markets?[J]. Review of Financial Studies,2011,24(12):3841-3890.
(2)KMO(Kaiser-Meyer-Olkin)检验是因子分析中最常用统计量,取值范围为[0,1].当KMO值越接近于0,意味着变量间的相关性越弱,原有变量越不适合作因子分析.对KMO常用的度量标准:0. 9以上表示非常适合; 0. 8表示适合; 0. 7表示一般; 0. 6表示不太适合;0.5以下表示不适合.
(3)异常时期行业收益间的超额联系可以分解为两部分,一是正常时段模型的参数结构发生变化,二是产生新的公共因子FN.对于本文研究的问题,因子模型的参数变化已经能够很好的解释异常时期的超额联系,不需要加入因子FN,当然也可以理解为因子FN载荷为0.
(4)本文在异常时段对正常时段相互关联模型的因子结构变化设为线性的,Ang和Bekaert[16]证明了这种方法的合理性.从下文中可以看出,线性模型设计已经可以非常好地解释本文研究的传染以及传染渠道问题.
(5)由于货币政策中再贷款与再贴现数据的变动较小,汇率政策和窗口指导等没有具体统计数据,所以未选入这两个指标.
(6)Wind二级行业指数的起始日期为2000年5月30日,本文尽量选取最完整的样本量,所以从二级行业指数的起始日起纳入本文样本范围.
(7)本文所有加权变量均以该变量转化为当日以人民币计价的市场价值为权重.
(8)本文异常时期的因子暴露系数的绝对值范围为[0,0.508],本文将每个行业中主导因子暴露系数绝对值≥0. 25定义为非常严重传染,0. 1≤主导因子暴露系数绝对值<0.15为比较严重传染,主导因子暴露系数绝对值<0.1为不严重.
[2]Allen F,Gale D. Financial contagion[J]. Journal of Political Economy,2000,108(1):1-33.
[3]Kodres L E,Pritsker M. A rational expectations model of financial contagion[J]. Journal of Finance,2002,57(2):769-799.
[4]Hamao Y,Masulis R W,Ng V. Correlations in price changes and volatility across international stock markets[J]. Review of Financial Studies,1990,3(2):281-307.
[5]Diebold F X,Yilmaz K. Measuring financial asset return and volatility spillovers,with application to global equity markets[J]. The Economic Journal,2009,119(534):158-171.
[6]赵留彦,王一鸣. A、B股之间的信息流动与波动溢出[J].金融研究,2003,(10):37-52.Zhao Liuyan,Wang Yiming. The asymmetry and volatility spillover of A share verse B share[J]. Journal of Financial Research,2003,(10):37-52.(in Chinese)
[7]李成,马文涛,王彬.我国金融市场间溢出效应研究——基于四元VAR-GARCH(1,1)-BEKK模型的分析[J].数量经济技术经济研究,2010,(6):3-19.Li Cheng,Ma Wentao,Wang Bin. Research on spillover effect within financial markets:Based on VAR-GARCH(1,1)-BEKK Model[J]. Journal of Quantitative&Technical Economics,2010,(6):3-19.(in Chinese)
[8]Dungey M,Fry R,González-Hermosillo B,et al. Empirical modelling of contagion:A review of methodologies[J]. Quantitative Finance,2005,5(1):9-24.
[9]Forbes K J,Rigobon R. No contagion,only interdependence:Measuring stock market co-movements[J]. Journal of Finance,2002,57(5):2223-2261.
[10]Bekaert G,Harvey C R,Ng A. Market integration and contagion[J]. Journal of Business,2005,78(1):39-69.
[11]Bekaert G,Ehrmann M,Fratzscher M,et al. The global crisis and equity market contagion[J]. Journal of Finance,2014,69(6):2597-2649.
[12]Kaminsky G,Lyons R K,Schmukler S. Managers,investors,and crises:Investment strategies of mutual funds[J]. Journal of International Economics,2004,64(1):113-134.
[13]Minsky H P. Stabilizing an Unstable Economy[M]. New York:McGraw-Hill,1986.
[14]韦艳华,齐树天.亚洲新兴市场金融危机传染问题研究——基于Copula理论的检验方法[J].国际金融研究,2008,(9):22-29.Wei Yanhua,Qi Shutian. The financial crisis contagion among Asian emerging market[J]. Studies of International Finance,2008,(9):22-29.(in Chinese)
[15]Connor G. The three types of factor models:A comparison of their explanatory power[J]. Financial Analysts Journal,1995,51(3):42-46.
[16]Ang A,Bekaert G. How regimes affect asset allocation[J]. Financial Analysts Journal,2004,60(2):86-99.
[17]Ferson W E,Harvey C R. The variation of economic risk premiums[J]. Journal of Political Economy,1991:385-415.
[18]董青马,卢满生.金融开放度与发展程度差异对银行危机生成机制影响的实证分析[J].国际金融研究,2010,(6):79-85.Dong Qingma,Lu Mansheng. Formation mechanism of banking crises with different levels of financial openness and development[J]. Studies of International Finance,2010,(6):79-85.(in Chinese)
[19]Kaminsky G L,Reinhart C M. On crises,contagion,and confusion[J]. Journal of international Economics,2000,51(1):145-168.
[20]Brière M,Chapelle A,Szafarz A. No contagion,only globalization and flight to quality[J]. Journal of International Money and Finance,2012,31(6):1729-1744.
[21]Dumas B,Solnik B. The world price of foreign exchange risk[J]. Journal of Finance,1995,50(2):445-479.
[22]夏南新.国际金融市场波动非线性因果性和溢出效应[J].管理科学学报,2016,19(3):64-76.Xia Nanxin. Nonlinear causality and spillover effect of volatility of international finance market[J]. Journal of Management Sciences in China,2016,19(3):64-76.(in Chinese)
[23]沈传河,王向荣.金融市场联动形态结构的非线性分析[J].管理科学学报,2015,18(2):66-75.Shen Chuanhe,Wang Xiangrong. Nonlinear analysis on the pattern structures of connection between financial markets[J].Journal of Management Sciences in China,2015,18(2):66-75.(in Chinese)
[24]宋凌峰,阳浪.经济下行、信用风险反馈和政府隐性救助[J].管理科学学报,2016,19(11):103-113.Song Lingfeng,Yang Lang. Economic downturn,credit risk feedback and government implicit bailout[J]. Journal of Management Sciences in China,2016,19(11):103-113.(in Chinese)
[25]Barrell R,Davis E P. Policy design and macroeconomic stability in Europe[J]. National Institute Economic Review,2005,191(1):94-105.
[26]Basu R. Financial Contagion and Investor“learning”:An Empirical Investigation[R]. Washington:International Monetary Fund(IMF)Working Paper,2002,No. 02/218.
[27]Kibrit9iogˇlu A. Excessive risk-taking,banking sector fragility,and banking crises[J]. University of Illinois at UrbanaChampaign,Illinois:Commerce and Bus. Admin,Working Paper,2002(02-0114).
[28]Brunnermeier M K,Pedersen L H. Market liquidity and funding liquidity[J]. Review of Financial Studies,2009,22(6):2201-2238.
[29]Goldsteina I,Pauzner A. Contagion of self-fulfilling financial crises due to diversification of investment portfolios[J]. Journal of Economic Theory,2004,119(1):151-183.
[30]Baker M,Wurgler J. Investor sentiment and the cross-section of stock returns[J]. Journal of Finance,2006,61(4):1645-1680.
[31]Yu J,Yuan Y. Investor sentiment and the mean-variance relation[J]. Journal of Financial Economics,2011,100(2):367-381.
[32]俞红海,李心丹,耿子扬.投资者情绪、意见分歧与中国股IPO之谜[J].管理科学学报,2015,18(3):78-89.Yu Honghai,Li Xindan,Geng Ziyang. Investor sentiment,disagreement and IPO puzzle in China’s stock market[J]. Journal of Management Sciences in China,2015,18(3):78-89.(in Chinese)
[33]Bekaert G,Harvey C R,Lundblad C T,et al. What segments equity markets?[J]. Review of Financial Studies,2011,24(12):3841-3890.
(2)KMO(Kaiser-Meyer-Olkin)检验是因子分析中最常用统计量,取值范围为[0,1].当KMO值越接近于0,意味着变量间的相关性越弱,原有变量越不适合作因子分析.对KMO常用的度量标准:0. 9以上表示非常适合; 0. 8表示适合; 0. 7表示一般; 0. 6表示不太适合;0.5以下表示不适合.
(3)异常时期行业收益间的超额联系可以分解为两部分,一是正常时段模型的参数结构发生变化,二是产生新的公共因子FN.对于本文研究的问题,因子模型的参数变化已经能够很好的解释异常时期的超额联系,不需要加入因子FN,当然也可以理解为因子FN载荷为0.
(4)本文在异常时段对正常时段相互关联模型的因子结构变化设为线性的,Ang和Bekaert[16]证明了这种方法的合理性.从下文中可以看出,线性模型设计已经可以非常好地解释本文研究的传染以及传染渠道问题.
(5)由于货币政策中再贷款与再贴现数据的变动较小,汇率政策和窗口指导等没有具体统计数据,所以未选入这两个指标.
(6)Wind二级行业指数的起始日期为2000年5月30日,本文尽量选取最完整的样本量,所以从二级行业指数的起始日起纳入本文样本范围.
(7)本文所有加权变量均以该变量转化为当日以人民币计价的市场价值为权重.
(8)本文异常时期的因子暴露系数的绝对值范围为[0,0.508],本文将每个行业中主导因子暴露系数绝对值≥0. 25定义为非常严重传染,0. 1≤主导因子暴露系数绝对值<0.15为比较严重传染,主导因子暴露系数绝对值<0.1为不严重.
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