基于转移和复杂网络方法的G20股票市场风险溢出网络的分析
Yijiang Zou1,2, Qinghua Chen2, Jihui Han3
1School of Economics, Anyang Normal University, Anyang, Henan, China.
PloS one
|December 1, 2025
概括
这项研究绘制了G20国家在全球股市风险溢出影响的地图. 新兴市场充当关键的桥梁,突出相互联系,并为金融监管战略提供信息.
科学领域:
- 金融经济学 金融经济学
- 网络科学 网络科学
- 量化金融 量化金融
背景情况:
- 了解金融市场的相互联系对于全球经济稳定至关重要.
- 以前的研究往往忽略了风险传播的动态和非线性性质.
研究的目的:
- 构建和分析G20股票市场之间的风险溢出网络.
- 确定网络的关键节点和宏观拓特征.
- 揭示G20金融体系中的区域集群和桥梁作用.
主要方法:
- 使用转移来量化不对称和非线性信息流.
- 使用极端事件的值方法构建了一个有针对性的,加权的风险溢出网络.
- 应用复杂的网络理论,包括PageRank和betweenness中心性,用于网络分析.
主要成果:
- 在G20股票市场中确认了重要的信息互动和风险溢出影响.
- 确定了欧洲和北美市场的区域集群.
- 强调新兴市场是风险溢出网络中的关键桥梁节点.
结论:
- 20国集团的股票市场表现出一个复杂的,相互关联的风险溢出网络.
- 这些发现为投资组合多样化和风险管理提供了宝贵的见解.
- 结果支持加强跨境金融监管和危机管理战略.
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