Study Of Extreme Risk Measurement And Spillover Effect Among Industry Sector In Chinese Stock Market

With the development of market-oriented process,the relationship between industries is becoming closer and closer.It is of great significance to analyze the characteristics of industry risk change and risk contagion effect.According to the first-level industry classification of Wind,11 industries are chosen to study the characteristics of industry risk and risk spillover effect among industries,which include energy,materials,industry,optional consumption,daily consumption,health care,finance,information technology,telecommunication services,public utilities and real estate.Firstly,GJR model is used to describe the volatility characteristics of 11 industries,which can better simulate the heteroscedasticity of volatility.Then use POT model to accurately describe the tail feature.And then rolling window method is used to describe the dynamic change of CVaR risk in different levels.Through testing,CVaR has good prediction results at 95%,97.5% and 99% levels.Based on the Copula theory,the overall extreme risk of Chinese market is measured by the Inference Function for Margins Method.The empirical results show that the overall extreme risk of Chinese market fluctuates around the average level of 0.03,and the peak risks in 2008 and 2015 exceed the average level of 23% and 40% respectively.Then,Monte Carlo method is used to describe the dynamic change of risk spillover effect among 11 industries.The results show that the overall risk spillover level of real estate,finance,industry and energy is high,while optional consumption,daily consumption,health care,telecommunications services and public utilities play the role of risk acceptors in the stock market.During the global financial crisis of 2008,Chinese industry,energy and finance were the main risk spillover industries,while during the stock market disaster in 2015,the risk spillover effects of real estate,finance and information technology industries were relatively high.Furthermore,it is found that the marginal risk transmission increment of finance and real estate is the largest in the short term after the stock market crash on June 19.Within one month after the stock market crash,the finance ranked first in the marginal risk spillover effect,and the risk transmission to other industries continued to increase.Finally,based on the empirical results,paper suggests that regulators should pay close attention to the trend of global financial market and its impact on Chinese stock market;pay attention to the inter-industry risk spillover effect,evaluate the risk contagion effect caused by the new policy;pay attention to the risk control of the finance industry and improve the risk response mechanism.