后金融危机时期中国股市的国际地位——基于非线性视角的股市联动网络分析

后金融危机时期全球股市一体化程度不断提高,全面认识中国股市的国际地位对于揭示国际股市一体化联动中的传导机制,防范和应对国际金融风险冲击具有重要的理论意义和现实价值。文章应用非线性格兰杰因果检验方法和社会网络分析方法,对金砖国家和七国集团股市收益率和波动率的联动关系及其联动网络结构进行分析,揭示出中国在国际股市联动中的地位对传导关系的控制方式,定量分析出事件冲击下中国股市与国际股市之间的交互影响。研究发现：（1）国际股市收益率和波动率联动网络呈现出稳定的非线性联动关系网络结构,受其影响各国股市收益之间存在互惠性,而波动之间则存在传染性;（2）在收益率联动网络中,中国股市的作用和地位已与英国相当,远高于其他金砖国家,正逐渐由"从属地位"转向"中心地位";（3）在波动率联动网络中,中国股市是造成国际股市风险交叉影响的重要"桥梁"。综上而言,当前中国股市表现出"高风险低收益"的市场特征;（4）中国对国际股市的影响具有典型的"地缘特征",将网络中心国家股市的利好传递给地缘临近国家股市;（5）波动率联动网络中初始冲击强度较大的国家,往往是对中国股市持续大规模产生冲击的国家;（6）相比较国际股市调整波动冲击的时间而言,中国股市调整时间较短,这表明后金融危机时代中国致力于股市的一系列改革举措取得了显著成效。

International Status of China's Stock Market in the Post Financial Crisis Period: Analysis of Stock Market Linkage Networks Based on the Nonlinear Perspective

After the financial crisis, the level of integration in global stock markets is getting higher and higher, so a comprehensive understanding of the international status of China's stock market to reveal the transmission mechanism of international stock market integration linkage, and resist the impact of the international financial risks is of great theoretical significance and practical value. Using nonlinear Granger causality test method and social network analysis to analyze the linkage relationships and linkage network structure of stock market returns and volatility in BRICS and G7, the article reveals the control patters of China's status in the international stock market for integration linkage, and quantitatively analyzes the interaction between the Chinese stock market and the international stock market under the impact of the event.The findings include:(1) the linkage network of international stock market returns and volatility appears stable nonlinear correlation structure respectively. Affected by the structure, there is reciprocity and infectivity in stock market returns and volatility respectively. (2) In the stock market returns linkage network, the status and role of China's stock market are similar to the United Kingdom's, and are much higher than the other BRICS. It has turned from "subordination" to "Centre". (3) In the stock market volatility linkage network, China's stock market is a major bridge which leads to crisscross effects of risk in the international stock markets. To sum up, China's stock market shows "high risk and low returns" features. (4) The impact of China's stock market on the international stock markets is a typical "geographical feature", which induces centric national stock market to transfer their returns to geographical neighboring countries stock market. (5) A national stock market that appears much larger initial volatility shock strength in the stock market volatility linkage network always has sustained massive influence on China's stock market volatility. (6) Comparing with the time used by the international stock market to adjust volatility shock, the adjustment time of China's stock market is less. This indicates that the series of reform measures of China's stock market have achieved remarkable results in the post financial crisis period.