Abstract: This paper defines short-term extreme upward moves as “right tail risk” and explores its impact on systemic risk in China’s stock market. During periods of risk eruption and spillover, the level of risk spillover is highly sensitive to tail shocks. The growth of long-leveraged funds and increased financial integration tend to amplify spillover risk, while short-leveraged funds and greater economic integration help mitigate it. The policy implications of this paper is that, first, regulators should consider market expectation deviations in policies, as significant deviations can trigger the procyclical accumulation and eruption of right tail risk. Next, specialized monitoring of right tail risk is essential to manage financial risk after accumulation. Finally, in a unified national market, it is crucial to further emphasize risk-stratified management in multi-tiered capital markets.

Key words: tail volatility spillover networks, systemic risk, extreme volatility dependence, upside risk

摘要： 依据市场极端波动相依性，将未来可能引致左尾损失的短期极端上涨过程定义为右尾风险，研究中国股票市场系统性风险的积聚、爆发和跨行业溢出过程以及影响因素。在风险积聚环节，共同冲击的市场预期偏差会显著放大异质性风险；在风险爆发与溢出环节，风险溢出水平对于尾部冲击及其强度高度敏感。多头杠杆资金与金融一体化程度的增长会显著增加系统性风险以及大涨后大跌的可能性，而空头杠杆资金与经济一体化程度的增加则能有效约束风险、维持市场稳定。政策启示如下：① 监管部门需要充分考虑政策的市场预期偏差，即便政策本身能够产生有利影响，若与市场预期偏差过大，仍然容易诱发右尾风险的顺周期积聚与爆发。② 右尾风险能够有效预测左尾极端损失，因此，有必要设置专门的右尾风险监测指标，从源头上防范金融风险积聚过后的集中释放。③ 在建设全国统一大市场的背景下，需要强调多层次资本市场的风险分层管理功能。

关键词: 尾部波动溢出网络, 系统性风险, 市场极端波动相依性, 上行风险