中国の株式市場における業界間波動性の転移効果の特徴と動的進化
1Business School, Shanghai Normal University Tianhua College, Shanghai, China.
PloS one
|September 5, 2025
まとめ
この研究は,中国における製造業の輸出リスクの転移を明らかにしています.
科学分野:
- * 金融経済学
- * ネットワーク分析
- * 中国の株式市場動態
背景:
- * セクター間のリスク伝達を理解することは,金融の安全性にとって極めて重要です.
- * 中国の株式市場の相互関係が経済安定に影響する.
- * 過去の研究では,28のセクターで波動性の転移効果を完全にマッピングできませんでした.
研究 の 目的:
- * 中国の株式市場28部門の変動連結とリスク転移を分析する.
- * 主要なリスク伝達セクターとリスク受容セクターを特定する.
- * 大規模な世界的な出来事 (COVID-19,ロシア・ウクライナ紛争) が市場相互接続に与える影響を評価する.
主な方法:
- * 波動性の転移をマッピングするためにネットワーク接続アプローチを使用しました.
- * セクター間リスク伝播の特徴と動的進化を分析した.
- * 中国の株式市場における28のセクターのタイムシリーズデータを使用した.
主要な成果:
- 製造業は高度な相関関係があり,リスクの転移効果の主な輸出業として機能しています.
- * 金融セクターはリスクの主要な受容者であり,他のセクターとの相関性は低い.
- *COVID-19初期におけるセクターリスクの相関は持続しなかった.ロシアとウクライナの紛争は感染効果が最小限であった.
結論:
- 製造業と金融セクターは,中国の株式市場リスク伝達において,異なる役割を果たしています.
- * 市場の相互関係に対するイベントの影響は一時的であり,回復力を示唆しています.
- * この調査結果は,中国における経済・金融リスク管理を強化するための洞察力を提供します.
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