Study Of Contagion Effect Among Industry Sector In Chinese Stock Market Based On Risk Network

As economic globalization and trade liberalization continue to deepen,the links between financial institutions are getting closer.As the financial network grows,it also makes the financial crisis happen more quickly.During the financial crisis,a large number of fund products will undergo huge retracement,and some products will face the risk of liquidation.Considering the characteristics of the dynamic optimal turnover rate of fund managers under high-water level contracts can reduce the risk of funds being prematurely liquidated.From the perspective of the industry,under the background of extreme risks,this paper builds an extreme risk network of the industry sector,analyzes the rotation laws among the industry sectors,and provides decision-making advice to fund managers.This article selects the returns of 29 CITIC primary industry indexes in the Chinese stock market from January 2005 to September 2019 as the research object,and innovatively uses the return of Barra style factors and national factors as explanatory variables,based on MIDAS-Quantile regression model estimates the monthly VaR series of industry index returns.Granger causality test based on quantiles between different industries and build an industry extreme risk network.It studied the roles of various industries in extreme risk networks during the two stock disasters in 2008 and 2015,and dynamically analyzed the risk characteristics between the sectors before and after the stock disaster.Studies have shown that there are large differences in the structure of risk networks between industries in different periods,and the characteristics of risk output and input of industries have also changed over time.Periodic industries such as coal and steel all play the role of net risk input at the initial stage,while industries such as medicine and defense military are at the edge of the risk network.Growth industries such as computers,communications,electronics,and media showed different risk characteristics during the two stock market crashes.In 2015,it showed obvious characteristics of net risk output,while in 2008,there was no obvious net output effect.For the financial sector,they all exhibited strong net risk output characteristics in the early stages of the stock market crash.