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

摘要： 股权质押风险一旦爆发呈联动效应，影响范围将迅速波及多个市场，极有可能衍生出系统性风险，对整个金融市场和实体经济带来极大危害。本文围绕股权质押违约风险在股票市场和基金市场传染的核心问题，借鉴网络科学研究工具，从关联市场视角下探索股权质押风险跨市场传染的路径和规律。首先描述了股权质押二部图网络的构建方法，利用关联网络的阈值传染模型描述证券市场和基金市场之间股权质押违约风险传染动力学；进一步收集整理2017年底沪深两市A股市场未解压股权质押数据和基金产品持股数据构建了真实的网络；最后，采用蒙特卡洛模拟技术仿真股权质押风险的传染过程，验证清盘抛售概率、平仓价等参数对风险传染范围的影响，计算每一家股权质押上市公司作为风险传染源的系统性风险贡献度，辨识出系统重要性股权质押公司。

关键词: 股权质押, 风险传染机制, 风险贡献度, 阈值模型