李伯华;赵宝福;贾凯威;吴津津;

• 1:辽宁工程技术大学工商管理学院

摘要(Abstract)：

为揭示券商板块在整体股市波动中发挥的引领作用规律，采用理论分析和实证检验的方法，基于风险测度理论构建Copula-GARCH-CoVaR模型，对券商板块与整体股市的风险相关性进行实证测度.研究结果表明：券商板块与整体股市有显著的风险溢出性，但在股市上涨与下跌过程中存在不对称的引领作用；信息冲击不对称现象容易引发系统性风险.研究结论可为监管部门对股市采取有效对策提供依据.

关键词(KeyWords)： 波动溢出效应;均值溢出效应;风险溢出;风险相关性;条件风险价值

Abstract:

Keywords:

基金项目(Foundation): 辽宁省社会科学规划基金项目（L19BJY027）;; 辽宁省教育厅科研项目（LJ2019ZL006）

作者(Authors): 李伯华;赵宝福;贾凯威;吴津津;

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