极端风险事件下股票市场与公司债券市场的尾部风险溢出研究——基于MVMQ-CAViaR模型

曾志坚1; 王永娟1; 陈  皎2

极端风险事件下股票市场与公司债券市场的尾部风险溢出研究——基于MVMQ-CAViaR模型

引用本文：曾志坚1，王永娟1，陈皎2.极端风险事件下股票市场与公司债券市场的尾部风险溢出研究——基于MVMQ-CAViaR模型[J].财经理论与实践,2022,(2):41-48

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作者	单位
曾志坚1，王永娟1，陈皎2	(1. 湖南大学工商管理学院，湖南长沙 410082 2. 长沙学院经济与管理学院，湖南长沙 410022)

中文摘要:构建MVMQ-CAViaR模型，结合金融市场内部极端风险事件和外部极端风险事件，考量股票市场与公司债券市场的尾部风险溢出问题。结果表明，在金融市场内部极端风险事件下，股灾期间仅存在股票市场对公司债券市场单向的尾部风险溢出。公司债券违约潮期间，股票市场与公司债券市场之间存在双向不对称的尾部风险溢出，且公司债券市场对股票市场的尾部风险溢出更强。在外部极端风险事件下，仅存在公司债券市场对股票市场单向的尾部风险溢出。当受到市场冲击时，股票市场的反应更强烈，但其恢复速度比公司债券市场更快。

中文关键词:股票市场公司债券市场极端风险事件尾部风险风险溢出

Risk Spillover between Stock Market and Corporate Bond Market under Extreme Risk Events: Based on MVMQ-CAViaR Model

Abstract:By combining internal and external extreme risk events in financial markets, the MVMQ-CAViaR model is constructed to test the tail risk spillover between the stock market and the corporate bond market. The results show that, under the internal extreme risk events in financial markets, there is only a unidirectional tail risk spillover from the stock market to the corporate bond market during the stock market crash, and a bidirectional tail risk spillover between the stock market and the corporate bond market during a tide of corporate bond defaults, with a stronger tail risk spillover from the corporate bond market to the stock market. Under external extreme risk events, there is only a tail risk spillover from the corporate bond market to the stock market. When hit by a market shock, the stock market reacts more strongly, but it recovers more quickly than the corporate bond market.

keywords:stock market corporate bond market extreme risk events tail risk risk spillover

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