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《Financial Economics Research》 2018-02
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Inter-Industry Dependence Structure of Market Risk and its Contagion Effect

Hou Zhongkai;He Zhuojing;Zhou Liguo;School of Finance and Economics,Tibet University;Business School,Central University of Finance and Economics;  
This study used stock market data of pillar industries in the national economy from January 2002 to July 2017 as a basis of research. The rolling-window method was adopted to calculate the dynamic value at risk( VaR),which was utilized as an indicator of industry market risk. The R-Vine Copula model was introduced to study the risk contagion effect among industrial markets prior to and following the United States subprime mortgage crisis and the European sovereign debt crisis,respectively. The results revealed that the dependence structure of risks in industry markets differed according to time;specifically,the center of the risk contagion network shifted with each period. There was a nonlinear dependence structure of risk during the two crises. Compared to the pre-crises period,the US subprime mortgage crisis period,European sovereign debt crisis period,and the post-crises period showed different levels of upper-tail dependence with market risk in certain industries. Further,there appeared to be "isolated industries"during the risk contagion process. Specifically,when market risk in a given industry is identified,the risk dependence of the target industry tended to be weakened. External markets were found to have a lagged negative impact on the risk contagion effect among industries in China.
【Fund】: 教育部人文社科研究项目(17XZJC790001);; 西藏自治区自然科学基金青年项目(2016ZR-TU-09);; 西藏自治区哲学社会科学专项资金项目(17CJY003);; 2015年中西部高校综合实力提升西藏大学中青年教师队伍建设项目
【CateGory Index】: F831.5
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