Research On Industry Relevance And Risk Spillover Network Characteristics Of China's Stock Market

As an important part of China's financial market,the healthy development of the stock market is of great significance for promoting the smooth operation of China's financial market and preventing the occurrence of systemic financial risks.With the continuous maturity and expansion of China's stock market,the Beijing Stock Exchange officially opened on November 15th,2021,realizing the multi-layer dislocation development of China's stock market.One of the important indicators to measure the development of the stock market is the index.In the stock market,the index usually reflects the general trend and fluctuation range of the stock price in the whole market.According to the granularity of the index,there are comprehensive index of the stock market,regional index,concept index and industry index,etc.The stock price reflects the operating status,profit expectation and enterprise risk premium of listed companies,while the industry index reflects the prosperity of various industries and the volatility and periodicity of industry development.Although China's stock market is maturing day by day,compared with the stock markets of developed countries such as the United States,there are still some shortcomings.By contrast,China's stock market is more affected by policies,and the responses of various industries to policies are obviously heterogeneous.At the same time,affected by various public emergencies and investors' behaviors,various industries show an alternating phenomenon of ups and downs.Fluctuations with too high frequency and too large amplitude often lead to the accumulation of risks.Therefore,analyzing the correlation between different industries and the risk spillovers under different time impact backgrounds will help us to have a deeper understanding of the operational logic and periodicity of fluctuations in China's stock market,and the research on inter-industry risk spillovers will help us to analyze the potential risks of China's stock market in a more detailed and comprehensive way.Through the comparative analysis of risk spillovers under different impact events,we can identify the risk centers and infection paths,and provide reference ideas for the flexible formulation of risk management policies.Because the industry index includes all listed companies in the same business field in the stock market,it is highly representative of the industry.Therefore,using the industry index to analyze the inter-industry correlation and risk spillover relationship can effectively eliminate the external influencing factors of listed companies due to geographical differences or local policy differences and different economic development levels.At the same time,detailed industry division can cover all fields of the national economy,making the analysis more comprehensive.On the basis of previous studies,this paper uses Shenwan First-class Industry Index,and uses 28 industry index data from January 4th,2010 to May 14th,2021 to study the industry relevance and risk spillover effect in China's stock market.The complex network model is introduced to dynamically compare and analyze the risk spillover.Firstly,the correlation between industries is analyzed by Pearson correlation coefficient,and the results are expounded in combination with the characteristics of industries.Then,the Granger causality test is used to construct the industry correlation network,and the mutual information contained in industry indexes is used to supplement the industry correlation.In the aspect of risk spillover,the generalized forecast error variance decomposition method proposed by Diebold and Yilmaz in 2012 is used to decompose the extremely poor volatility of the industry index.Based on the spillover index obtained after variance decomposition,the threshold method is used to construct the inter-industry risk spillover network,and the impact of China's stock market in the past decade is analyzed.Specifically,this paper introduces the "stock market crash" in mid-2015 and the "COVID-19" epidemic in early 2020 as different types of external shocks,and makes a dynamic comparative analysis of risk spillovers among different industries in the stock market.It is found that during the"stock market crash" period,the correlation and risk spillover degree among various industries increased,and compared with the stable period of the stock market,the change range of banking and non-bank financial industries was more obvious,and their risk spillover and acceptance degree and characteristic vector centrality index were improved.At the same time,industries such as building materials and leisure services are more likely to become risk transmission centers under the impact.During the "COVID-19"epidemic,from the point of view of network structure characteristic indicators,building materials,building decoration,computer and communication industries were the main risk transmission centers,while other industries were relatively stable with small changes.In China's stock market,the fluctuation of industry risks is greatly influenced by the types of shocks.Therefore,in order to ensure the stability of the financial market under the impact of sudden public events,we should take the lead in identifying the nature of the shocks and paying attention to specific industries to prevent the risks from expanding.