Research On Risk Measurement And Spillover Effect Of China's Strategic Emerging Industries Market

Strategic Emerging Industries are industries with great development potential based on major technological breakthroughs and major development needs,which play a significant leading role in the overall economic and social development and the long-term development of the financial market.As an important part of promoting the economic and social development of our country,the sustainable development of Emerging Industries has always been a hot topic.The internal structure of each Emerging Industry,portfolio risk and the change of stock price under the positive and negative impact are also concerned.Based on this,this paper measures the financial risk of the Emerging Industry market,and analyzes the spillover effect of Emerging Industries in the extreme market.First of all,in the study of the dependence structure between the Emerging Industries,GJR-GARCH model based on different thick tail distribution is used to fit the marginal distribution of each return sequence,and vine copula model is used to describe the non-linear dependence structure and tail dependence relationship between the seven Emerging Industries,effectively overcoming the limitations of traditional dependence measurement method in describing the complex dependence structure.The results show that there is a strong non-linear correlation and asymmetric tail dependence between Emerging Industries markets,mainly reflected in the lower tail correlation coefficient is greater than the upper tail correlation coefficient.In addition,we also find that different distributions of the residual term of marginal distribution do not affect the measurement results of the dependent structure between Emerging Industries.Secondly,we study the financial risk of Emerging Industries market.In this paper,GJR-GARCH-Va R model is constructed through introducing generalized hyperbolic distribution to measure the risk value of single Emerging Industries market.Then,we measure the risk value of the portfolio with equal weight according to the dependent structure of the Emerging Industries,and compare the accuracy of Va R of the portfolio with different thick tail distribution by back testing.In addition,we optimize the portfolio of Emerging Industries.The research shows that China's Emerging Industries market has the problem of weak risk resistance,and they are vulnerable to changes in the market environment,including the stock market disaster in 2015 and China-US trade friction.The family of generalized hyperbolic distribution functions is helpful for the accurate measurement of risk,and the normal inverse Gaussian distribution is the best among t distribution,NIG distribution and GHYP.Finally,considering the fact that emerging industry markets are vulnerable to changes in market environment,this paper introduces Cross-quantilogram method to study the spillover effects among Emerging industries in extreme market environment from three aspects of direction,persistence and intensity,which effectively overcomes the traditional model which can only from a single angle The limitation of spillover effect is studied.The results show that there is a significant asymmetric two-way spillover effect among Emerging industries.The spillover effect between the two markets is reflected in the phenomenon of "rising with the same falling" among the Emerging industry markets.In addition,the spillover effect under negative shocks is more intense than that in positive shocks,lasting about three weeks.We study the dependence structure,risk measurement and spillover effect of Emerging industries,and reveal the internal relations in Emerging industry markets.This is of great significance to the adjustment of industrial structure and financial supervision of government departments,as well as the rational allocation of assets and timely trading operations of investors.