Research On Information Efficiency And Risk Contagion Mechanism Of Stock Market

Since the subprime mortgage crisis in 2008,the attention of regulatory authorities and academic research on systemic financial risk has continued to increase,and systemic risk has become a hot topic of widespread concern in all sectors of society at home and abroad.However,there is an important characteristic of systemic risk: when a single institution(or department)faces market risk shocks,this risk will spread rapidly through the interconnection among institutions(or departments).Since systemic financial risk has obvious characteristics of linkage and spillover contagion,it is of great theoretical and practical significance to study the internal driving factors of systemic financial risk spillover effect and contagion mechanism for preventing and resolving systemic risk.To explore the systemic financial Intrinsic drivers of risk spillover effects and contagion mechanisms,this paper takes the information efficiency of stock as the starting point,takes the 2007-2022 Shanghai and Shenzhen 300 index constituent stocks as samples,and combines the TENET model and the rolling window estimation method to construct a stock tail risk dynamic network driven by the tail risk spillover effect.At the same time,this paper measures the information efficiency of the stock market from the two dimensions of stock price information content and the speed at which information is integrated into the stock price,and measures systemically important risk institutions from the three dimensions of risk absorption capacity,risk contagion capacity,and risk amplification capacity.The research found that:(1)The higher the information content of the stock,the faster the information is integrated into the stock price,the lower the institutional systemic risk spillover level,and the information efficiency of stock has a significant negative effect on the institutional systemic risk spillover level.Absorbing institutions,risk-contagious institutions and risk-amplifying institutions are all established,and they are still stable after multiple tests;(2)Under different levels of investor sentiment,the impact of information efficiency of stock on institutional systemic risk spillovers and contagion exists.The difference is that in institutions with high investor sentiment,the negative impact of information efficiency of stock on systemic risk spillover and contagion is smaller;(3)under different levels of institutional profitability,information efficiency of stock has a smaller impact on institutional systemic risk spillover and the impact of contagion is different.In institutions with higher levels of profitability,information efficiency of stock has a greater negative impact on systemic risk spillovers and contagion;(4)The risk contagion ability of the non banking financial industry is significantly higher than the system average level,while the risk contagion ability of the banking and real estate industries is significantly lower than the system average level.This indicates that systemic financial risks are mainly spread by the non banking financial industry and absorbed by the banking and real estate industries.Compared with previous studies,the possible marginal contributions of this paper are:(1)Starting from the level of institutional risk spillovers,combined with systemically important institutions,to investigate the internal driving factors of systemic financial risk spillover effects and contagion mechanisms,which are important for systemic financial risk spillovers.A further supplement to the literature on the risk spillover effect and the influencing factors of the contagion mechanism;(2)Starting from the information efficiency of stock,examine the impact of the information efficiency of stock on the institutional risk spillover level,which is a further expansion of the research on the possible economic consequences of the information efficiency of stock;(3)Incorporating non-financial institutions into the scope of consideration of systemically important risk institutions is conducive to better portraying the real systemic risk situation.