基于~DECO-FIAPARCH 和~cADCC-FIAPARCH 模型从全局视角及两两股市 层面刻画国际股市间的相依结构, 并首次将~GARCHSK 高阶矩波动模型与~Connectedness 方 法相结合, 量化国际股市间的高阶矩风险溢出效应. 实证结果表明: 国际股市间的动态等 相关性具备显著的时变性, 且易受到重大危机事件的冲击而增强. 总体而言, 欧美股市间 的相关性高于亚洲股市, 中国大陆与中国香港、日本、印度以及东南亚股市的相关性较高, 而 与欧美~(美国、加拿大、法国、德国、阿根廷、希腊) 股市的相关性较低. 国际股市间的高 阶矩风险溢出效应较为显著, 且美国、墨西哥、加拿大和英国~(日本、菲律宾、泰国、土耳 其、中国香港) 股市是最主要的高阶矩风险净溢出者~(净接受者), 重大国际危机事件会强 化高阶矩风险溢出效应, 中国香港股市既是中国大陆的风险传染源之一, 同时也是大陆股市与 国际股市间风险溢出的重要传播媒介. 构建包含中国大陆股市与其余股市的投资组合可以显 著降低原始投资组合的风险, 最优权重投资组合较等权重投资组合具备更高的风险管理有效性.

This paper depicts the dynamic linkages among international stock markets from the system-wide and pairwise perspectives based on the DECO-FIAPARCH model and cADCC-FIAPARCH model. Moreover, this paper is the first to combine the GARCHSK higher moments volatility model and the connectedness approach to quantify the higher moments risk spillovers among international stock markets. The empirical results demonstrate that the dynamic equicorrelation presents significant time-varying features and it is vulnerable to major financial risk shocks. In general, the dynamic conditional correlations among the US and European stock markets are higher than in Asian stock markets. The dynamic conditional correlations between mainland China and Hong Kong China, Japanese, Indian, and Southeast Asian stock markets are higher than European and American (the United States, Canadian, French, Germany, Argentine, Greek) stock markets. Besides, the higher moments risk spillovers among international stock markets are significant. The United States, Mexican, Canadian, and United Kingdom stock markets are the main higher moments risk spillover net-transmitters while Japanese, Philippine, Thailand, Turkish, and Hong Kong China stock markets are the main higher moments risk spillover net-recipients. Besides, the major international crisis always enhances the magnitude of the higher moments risk spillovers. The stock market in Hong Kong China not only transmits significant risk spillovers to mainland China stock market but also act as a vital infectious agent between mainland China and other international stock markets. Last but not least, the diversified portfolios including mainland China and other international stock assets can significantly reduce the risks of the original portfolios. Finally, compared with the equal-weighted portfolio strategy, the optimal-weighted portfolio always presents the highest risk management effectiveness.