Research On Risk Network Transmission Characteristics Of China Stock Market Based On Industry Sectors Perspective

Today,the links between international stock markets and financial products,as well as between different domestic financial markets and internal industry sectors,are getting closer and closer,making linkages even more pronounced during a crisis.For example,in 2015,the stock market crash in China occurred a thousand-share limit.At present,the risk analysis of industry sectors has become an indispensable task in the field of investment decision-making.What are the characteristics of risk conduction in various industry sectors over time,and whether there are linkages between fluctuations and spillovers of various industry sectors?This has caused widespread concern from scholars at home and abroad.This paper uses range volatility to construct a volatility spillover indicator based on the generalized VAR model to identify the net volatility spillover status of the industry sector,and constructs a network topology diagram,from the time and frequency domain perspectives for the entire sample period and the crisis period(China's stock market crash in 2015 and The financial crisis in 2008),were analyzed to explore the time-varying characteristics of volatility spillovers across the various sections of the Chinese stock market.From a time domain perspective,the main results show that from the perspective of the entire sample period,the energy and real estate sectors have a weak ability to absorb stock market risks,which mainly plays a role in transmitting risk between the acceptance sectors of net fluctuation spillovers,while the financial and daily consumption sectors are mainly responsible for absorbing the risk;For industry sectors with a net impact of volatility spillovers,the information technology and utility sectors are mainly responsible for the role of risk transmission between the sectors with a net impact of volatility spillovers,while other sectors are mainly responsible for the transmission of risks between different state sectors.During the 2015 crash,the degree centers of all the sectors were characterized by the first decline and then the rise.It can be seen that the distribution function of each sector has decreased during the stock crisis,which indicates that the risk spillover among the sectors is more scattered during the stock crisis,rather than mainly focusing on a few central plates;During the stock market crash,the sectors in the net shock of volatility spillovers did not absorb the risks,but instead strengthened the relationship with the state sectors,making the stock market crisis spread quickly;The weaker volatility overflows the net impact and the net acceptance sector is very sensitive and easy to change the state;The occurrence of stock disasters will increase the degree of mutual fluctuations and spillovers.This phenomenon is to some extent consistent with the irrational behavior of investors in the Chinese stock marketFrom the frequency domain perspective,the main results show that during the period,the fluctuations of each sector were mainly dominated by long-term trends.At the beginning of the Chinese stock disaster,the spillovers were mainly concentrated between the sensitive sector pairs,and the sensitive sector pairs basically belonged to the net fluctuation overflow shockers.After the risk was passed away,the receiver of the net volatility spillover began to be shocked,and the entire risk volatility overflow flooded the entire stock market.At the same time,the main differences between the 2015 and 2008 financial crisis network topology diagrams are the risk shock status of the real estate and information technology sectors,the differences between the mutual fluctuations and spillovers between the sectors,and the connectivity of the financial and energy sectors.Further,the analysis of integrating the characteristics of industrial associations and credit relationships into the risk transmission network found that upstream and downstream industrial associations can enhance the role of risk transmission between industries,and that industries with large credit scales have a stronger risk impact on the financial industry.Finally,based on the research conclusions,some policysuggestions are proposed for the supervision and prevention of stock market risks.