基于LGCNET多层网络的中国A股上市公司系统性风险度量

系统性风险度量一直是金融风险领域的热点问题，但是对于复杂网络条件下的度量方法还缺乏深入研究。本文将滑动窗口分位数回归与局部高斯相关方法相结合，构建出一种全新的多层时变网络——局部高斯相关网络(Local Gaussian Correlation Network， LGCNET)。基于此方法，本文通过研究中国证券市场股票总体及尾部收益的非线性相关性，分析了2018年至2021年我国A股50家上市企业关联网络的演化特征，通过考察金融网络系统性风险水平在整个时间段内的变化情况，探究了新冠疫情及中美贸易摩擦期间上市公司网络的风险变化情况。结果表明：第一，金融与科技行业是网络节点的中心，与其他行业公司存在较高关联性，表明该类行业是风险传导的中心。第二，基建及银行类公司因为其市值高，在系统中的重要程度普遍较高；同时，尾部风险排名高于其市值排名的企业具有较大市场影响力和风险传导能力，也应该受到关注。第三，在系统层面，受信用风险加剧及中美贸易摩擦的影响，2018年整个网络系统普遍具有较高风险水平；但在2020年新冠疫情期间，国内系统性风险一直控制在较低水平。

An Empirical Study on the Systemic Risk of Chinese A-Share Listed Companies Based on Multi-layer Network

Systemic risks are received much attention in financial studies these years. Most existing risk measures could be not directly appliable to measure the systemic risk contribution of financial institutes in China for the complex financial network in big data era. To describe the nonlinear correlation of financial returns, a new multi-layer correlation network, named by Local Gaussian Correlation Network (LGCNET), is constructed by combining quantile regression and local Gaussian correlation coefficient.The new method is used to measure the systemic risk contributions of 50 A-shares listed companies in China from 2018 to 2021. The empirical results show that: 1) The finance and technology industries are often the center of network nodes. They often have high correlations with other industry companies, which demonstrates that such industries are usually the center of risk transmission. 2) Due to their high market value, infrastructure and banking companies are generally more important in the financial system. Meanwhile, more attention should be paid to companies whose importance exceeds their market value, because they often have greater influence in the market. 3) At the systemic level, the whole system has a relatively high level of risk during 2018, especially at the beginning of 2018, which may be mainly affected by the increase of credit risk and the trade war, whereas the domestic systemic risks have been well controlled during the new crown epidemic in 2020. Finally, some suggestions are provided for improving China’s financial risk prevention system.