疫情背景下中国股市行业间风险溢出效应分析

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance Pub Date : 2025-04-20 DOI:10.1016/j.jbef.2025.101054

Qianqian Feng , Yiran Shen , Jianping Li , Xiaolei Sun

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引用次数: 0

摘要

本文回顾了新冠肺炎疫情在中国发生的6次重大疫情，重点分析了行业股指的下行风险传导。利用136个风电行业股票指数，构建边际溢出网络，提取每次疫情的传播路径，总结风险积累和传播特征。实证研究发现，疫情期间，市场下行风险首先在医药零售、生命科学工具和服务等医疗保健行业及相关行业蔓延。由于白银作为重要的工业原材料和金融工具的双重性质，白银指数比黄金指数对疫情的影响更为敏感。此外，由于各城市的职能定位和行业特征存在差异，疫情爆发后股市行业的下行风险溢出效应存在差异。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Inter-industry risk spillovers in the Chinese stock market under epidemic outbreaks

This paper reviews six major epidemic outbreaks of the COVID-19 pandemic in China, with a particular focus on downside risk transmission among industry stock indices. Utilizing 136 Wind industry stock indices, this paper constructs marginal spillover networks and extracts transmission pathways during each outbreak, summarizing the risk accumulation and transmission characteristics. Empirical research findings indicate that during the outbreak of the pandemic, market downside risk initially spread in the healthcare sector and related industries such as pharmaceutical retail, life science tools and service. Due to the dual nature of silver as a crucial industrial raw material and a financial instrument, the silver index is more sensitive to the impact of the pandemic than is the gold index. Additionally, owing to variations in functional orientation and industry characteristics across cities, there are differences in downside risk spillovers among stock market industries following the outbreak of the pandemic.

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来源期刊

Journal of Behavioral and Experimental Finance BUSINESS, FINANCE-

CiteScore

13.20

自引率

6.10%

发文量

审稿时长

69 days

期刊介绍： Behavioral and Experimental Finance represent lenses and approaches through which we can view financial decision-making. The aim of the journal is to publish high quality research in all fields of finance, where such research is carried out with a behavioral perspective and / or is carried out via experimental methods. It is open to but not limited to papers which cover investigations of biases, the role of various neurological markers in financial decision making, national and organizational culture as it impacts financial decision making, sentiment and asset pricing, the design and implementation of experiments to investigate financial decision making and trading, methodological experiments, and natural experiments. Journal of Behavioral and Experimental Finance welcomes full-length and short letter papers in the area of behavioral finance and experimental finance. The focus is on rapid dissemination of high-impact research in these areas.