【CFRI】Collective risk resonance behavior and network resilience in Chinese stock sectors: evidence from higher-order financial network 中国股票板块中的集体风险共振行为与网络韧性：来自高阶金融网络的证据——李本初分享

科研基地组织前沿文献研读交流会，李本初围绕 2025 年刊于上交安泰主办国际金融Q1期刊China Finance Review International（CFRI《中国金融评论》）的论文Collective risk resonance behavior and network resilience in Chinese stock sectors: evidence from higher-order financial network作主题汇报。

文章目的：研究中国行业风险关联网络中潜在的高阶依赖关系，描述其拓扑结构，并在系统和行业两个层面量化其韧性，从而为缓解系统性风险、维护金融稳定提供新的见解。

方法与思路：采用RHOSTS方法，构建中国股票行业的高阶风险关联网络，并利用网络拓扑指标分析其结构。随后将这些指标嵌入耦合映射-格模型中，以追踪整个网络及其组成行业的时变韧性。

研究发现：行业网络表现出显著的高阶交互作用，其中四行业同步共振是主要特征。出现了针对特定冲击的核心共振簇，尽管系统整体韧性随时间推移而增强，但各板块间的显著异质性依然存在。

创新性贡献：通过突破传统成对溢出模型的局限，构建的高阶金融网络揭示了跨越多个板块的集体风险共振现象。提出基于拓扑的指标，能够同时评估系统层面和特定板块的韧性及其演变过程。

Abstract

Purpose – We investigate latent higher-order dependencies in Chinese sectoral risk connectedness networks, characterize their topology and quantify resilience at both the system and sector levels, thereby offering new insights for mitigating systemic risk and preserving financial stability.

Design/methodology/approach – Employing the RHOSTS approach, we construct higher-order risk connectedness networks for Chinese stock sectors and analyze their structure with network-topology metrics. These metrics are then embedded in a coupled-map-lattice model to track the time-varying resilience of the overall network and its constituent sectors.

Findings – The sectoral network exhibits pronounced higher-order interactions, with four-sector synchronous resonance as the prevailing motif. Shock-specific core resonance clusters emerge and although system-wide resilience increases over time, marked heterogeneity across sectors persists.

Originality/value – By moving beyond traditional pairwise spillover models, our higher-order financial network reveals collective risk resonance spanning multiple sectors. The topology-based metrics we propose enable simultaneous assessment of system-level and sector-specific resilience and its evolution.