我国实物资产与金融资产市场动态相关性研究.docVIP

我国实物资产与金融资产市场动态相关性研究 　　摘 要：资产市场间的收益和波动相关性方面,许多已有工作并没有形成一致结论。本文从周度时间跨度视角,构建了VAR-DCC-MVGARCH模型,采用了2005年7月至2011年3月的交易数据,在一个框架下考察了我国石油、黄金、利率、汇率和股票市场的动态相关性。结果表明,利率对汇率、石油对汇率、黄金对利率、黄金对石油存在着单向均值溢出效应,仅在股票与黄金市场间具有双向均值溢出效应;各市场波动性之间均具有动态时变特征,其中,股票与利率、汇率与利率、石油与汇率、黄金与汇率具有负相关性,股票与石油、股票与黄金、黄金与利率、黄金与石油间呈现出正向关联。最后,将结果与现有文献进行了比较和探讨。 　　关键词：均值溢出效应;动态条件相关性;多元GARCH模型 　　中图分类号：F830 文献标识码：A 文章编号：1003-5192(2012)02-0007-06 　　 　　Dynamic Correlation Studies on Physical Assets and Financial Asset Market in China 　　――An Empirical Test Based on VAR-DCC-MVGARCH Model 　　LI Hong-xia, FU Qiang 　　(College of Economy and Business Administration, Chongqing University, Chongqing 400030, China) 　　Abstract:The relationships among asset makets have long been unresolved issues in the finance literature. By constructing the VAR-DCC-MVGARCH model and adopting the weekly data between July 2005 and March 2011, this paper studies mean spillover effects and dynamic conditional correlations among oil, gold, interest rate, exchange rate and stock markets in China. Our findings are as follows. There are uni-directional relations of mean spillover effect from interest rate to exchange rate, oil to exchange rate,gold to interest rate and gold to oil, while the mean spillover effect between gold and stock markets is bi-directional.Additionally, the correlations of volatility are time-varying in all the cases,and there exist significiantly negative relationships between stock and interest rate, exchange rate and interest rate, oil and exchange rate, and gold and exchange rate.Meantime, the positive correlations are founded between stock and oil, stock and gold, interest rate and gold, and oil and gold. Finally, we compare the results with the existing literature. 　　Key words:mean spillover; dynamic conditional correlation; MVGARCH model 　　 　　1 引言 　　资产市场间收益和波动的关联性分析是资产定价及投资组合理论的重要基础。20世纪90年代以后,随着Granger因果检验、协整方法和GARCH模型簇等计量手段的广泛应用,资产间溢出效应和相关性检验成为了持续研究热点。总体而言,国内外现有文献大多关注了两种资产市场间的相互关联,大体可归纳为三类研究重点: 　　其一,股票市场、利率