关键词: 股权质押, 风险传染机制, 风险贡献度, 阈值模型

Abstract: Under the background of the continuous decline of China’s stock market, the number of announcements of stock pledge liquidation of listed companies has significantly increased. Once the risk of share pledge breaks out, it will have a linkage effect and the impact will quickly spread to the stock market, banks, securities and funds, and other markets. It is very likely to trigger a systemic risk which will bring great harm to the entire financial market and the real economy. Faced with this serious situation, this paper focuses on the core issue of the default risk contagion of share pledge between the stock market and the fund market. By using the research tools of network science, it explores the contagion path of the share pledge risk between the stock market and the fund market from the perspective of interconnected market networks based on the system science and network science theory. First, a bipartite network model of share pledge was built. Then, the threshold contagion model was borrowed to explore the contagion dynamics of the default risk between the stock market and the fund market. After that, the data of the share pledge and fund product ownership in A-share market of Shanghai and Shenzhen stock markets were collected at the end of 2017, and a real network was established. Finally, the Monte Carlo simulation technology was used to simulate the process of share pledge default and check the impact of the parameters such as liquidation probability and closing price of pledge share. As the source of risk contagion, the systematic risk contribution of each listed company with share pledge were calculated. The systemic importance of share pledge companies was identified.

Key words: share pledge, risk contagion mechanism, bipartite, threshold model