【摘要】 本文基于2000年1月至2024年5月万得一级行业指数的日度交易数据，借助于广义动态因子模型(GDFM)提取行业波动率共同风险成分和特质性风险成分，分析了行业波动率共同风险和特质性风险的动态变化，进一步揭示了行业共同风险和特质性风险的响应机制。在此基础上，通过方差分解和复杂网络方法分别探讨了行业共同风险分担和特质性风险传染问题。实证结果表明：外部共同因子对各个行业的同质性冲击是股票市场大幅波动的主要原因，各个行业波动率共同风险间的强关联性为共同风险畅通了快速释放渠道；波动率共同风险在全行业的风险分担效应大幅缩短了风险释放周期，而波动率特质性风险往往产生持久性影响，并延长了风险的化解周期；提高行业的异质性水平，大幅降低了行业波动率特质性风险的关联性和溢出效应，有效缓解了股票市场整体波动的跨行业传染。更多还原

【Abstract】 Based on the daily trading data of Wind Primary industry index from January 2000 to May 2024, we extract the common risk and idiosyncratic risk components of industry volatility with the help of generalized dynamic factor model(GDFM), and analyze the dynamic changes of common risk and idiosyncratic risk of industry volatility.The responding mechanism of common risk and idiosyncratic risk is further revealed.On this basis, the problems of common risk sharing and idiosyncratic risk contagion are discussed respectively by variance decomposition and complex network methods.The empirical results are as following: The impact of external common factors on the homogeneity of each industry is the main reason for the large fluctuations of the stock market.The strong correlation between the common risks of volatility of each industry has opened up a quick release channel for the common risks.The risk-sharing effect of volatility common risk in the whole industry significantly shorts the risk release period, while volatility idiosyncratic risk often has a lasting impact and prolongs the risk resolution period.Improving the level of industry heterogeneity greatly reduces the correlation and spillover effect of industry volatility idiosyncratic risk, and effectively buffers the cross-industry contagion of the overall stock market volatility.更多还原