已有的股市溢出效应研究多集中于均值及波动溢出效应层面, 而鲜有研究探讨股 市行业间的高阶矩风险溢出效应. 针对已有研究存在的不足之处, 文章基于高阶矩~GARCHSK 模型以及~Diebold 和~Yilmaz (2014)提出的~Connectedness 方法, 研究了中国股市行业间的 均值、波动、偏度和峰度溢出效应. 实证结果表明: 中国股市行业间不仅存在着较强的均值 及波动层面的溢出效应, 高阶矩风险溢出效应同样显著; 工业、材料和可选消费行业是中国 股市的系统重要性行业, 扮演主要的风险净溢出者角色, 而电信服务、能源及金融行业是主要 的风险净接受者; 股市行业间高阶矩风险溢出效应具有显著的时变特征, 且容易受到国内外重 大事件的影响; 重大危机事件往往会引起股市行业间的风险溢出效应的增强, 且金融危机期 间的风险溢出效应显著强于危机前和危机后; 股市行业间动态风险溢出效应在牛市中倾向于减 弱, 而在熊市中则倾向于增强. 文章的研究成果不仅丰富和完善了股市风险溢出效应的研究框架, 而 且可以为现实中投资者和监管部门进行投资组合及风险管理实践提供有力的决策考量依据.

The existing research mostly focus on the mean and volatility spillover effects among stock markets, but few literature study the higher moments risk spillovers among stock market industries. This paper investigates the mean, volatility, skewness and kurtosis spillover effects among stock market industries based on higher moments GARCHSK model and Connectedness framework proposed by Diebold and Yilmaz. The empirical results show that there exist not only the mean and volatility risk spillovers, but also the higher moments spillovers among stock market industries. The industrial, material and optional consumer industries are all systemically important industries in Chinese stock market, playing the major risk net spillover roles, while the telecommunications services, energy and financial industries are the main net recipients of risk spillovers. The higher moments risk spillover effects among industries are time-varying and vulnerable to the impact of major events at home and abroad. Major crisis events tend to increase the intensity of risk spillovers between industries, and the risk spillover intensity during financial crises is greater than the pre- and post-financial crisis period. The dynamic risk spillover effects between industries tend to weaken during the bull market while increase during the bear market. This paper can not only promote the research framework of risk spillover effects among stock markets, but also provide a promising reference for various stock market investors and government regulatory agencies to make portfolio and risk management decisions in reality.