Abstract: Based on Shanghai Composite Index, Hangseng Index and S&P500 Index, we make a research of risk spillover effect among markets. The results show that the risk spillover effect is most significant between Shanghai and Hongkong stock market, followed by the effect between Hongkong and US stock market, while the effect between Shanghai and US stock market is not significant. From the point of view of the direction and intensity of risk spillover effect, whether in a bull market or in a bear market, the risk spillover effect in Hangkong market on Shanghai market is bigger than that in Shanghai market from Hongkong market.. The bidirectional risk spillover effect between Hongkong and US stock market is relatively balanced in a bull market, while the effect from US market on Hongkong market is bigger in a bear market. But on the contrary to the common sense, the risk spillover effect from Shanghai market on Hongkong market is bigger in a bull market than in a bear market, we have a chi-plot correlation analysis of this phenomenon and conclude that the opinion of ‘If China sneezes, the whole world will catch a cold’ is wrong. From the dynamic trend of risk spillover effect, we find that the risk spillover effect is different in two bull market stages. The risk spillover effect from US market to Chinese market is generally stable, but the risk spillover effect from Chinese market on US market changes. There is a big gap between two bull market stages when it is in low quantile level, while there is a consistent trend between two market stages when it is in high quantile level. Further, the risk spillover effect from Shanghai market on Hongkong market isincreases while the risk spillover effect from Hongkong market on Shanghai market decreases.

Key words: risk spillover, CoVaR method, logit-regression, difference in bull and bear markets, chi-plot method

摘要： 选取中美股票市场的上证综指、恒生指数和标普500指数作为研究对象进行风险溢出效应研究,结果表明,总体而言上海市场与香港市场之间双向风险溢出效应最为显著,香港市场和美国市场次之,而上海市场与美国市场之间的双向风险溢出效应最不显著;从风险溢出方向与强度方面分析,无论牛熊市,香港市场对上海市场在极端风险时刻的风险溢出要显著强于上海市场对香港市场的溢出,而香港市场与美国市场之间在牛市行情下双向风险溢出效应相对均衡,在熊市行情下香港对美国的风险溢出相对更大,与常理不一致的结果是上海市场在牛市期间对香港市场的风险溢出效应要大于熊市,围绕这一点进一步采用Chi-plot相关图进行分析表明中国市场还未达到“中国打喷嚏,世界经济感冒”的状态;从风险溢出效应的动态趋势分析看出两个牛市阶段各市场的风险溢出呈现不同特征。美国市场对中国市场的风险溢出效应总体平稳,而中国市场对美国市场的风险溢出效应存在一定差异,在低分位数水平相差较大,随分位数水平提高两个牛市阶段的风险溢出趋于一致。但上海市场对香港市场的风险溢出随时间变化在牛市阶段逐步增强,而香港市场对上海市场的风险溢出则逐渐下降。

关键词: 风险溢出, CoVaR方法, Logit-回归, 牛熊差异, Chi-plot方法