基于DCC-MGARCH模型的中国A、B股市场相关性及其解释  

The Correlation of A-shares and B-shares in Chinese Stock Markets and Its Explanation Based on DCC-MGARCH Model

作　　者：董秀良[1] 吴仁水[1] 

机构地区：[1]华侨大学商学院

出　　处：《中国软科学》2008年第7期125-133,共9页China Soft Science

基　　金：福建省社科基金项目(项目编号:2006B068);福建省高等学校新世纪优秀人才支持计划基金;华侨大学博士启动基金资助

摘　　要：金融资产相关性分析是现代金融学的重要基础,不论是投资组合的选择还是风险管理均涉及到相关性的估计和预测,寻求相关系数的可靠估计已成为众多研究者关注热点问题。本文利用Engle于2002年提出的DCC-MGARCH模型对我国沪深A、B股市场之间的相关性进行了动态考察,研究发现:沪深两市A、B股之间的相关系数总体为正,并具有明显的时变特征;1997年至2001年沪深A、B股市场的动态相关系数相对较小,波动性较大,2001之后两市A、B市场之间的动态相关系数明显增大,并且波动性减少,这表明沪深A、B市场之间的一体化程度正日趋增强,不过在处于相对高位之后,近几年来并没有呈现出进一步提高趋势;总体而言,A、B股市场动态相关系数还相对低,市场分割特征仍然明显。最后运用行为金融理论对A、B股市场的动态相关性的时变特征进行了分析和解释。The analysis of correlations between financial assets is an important basis of modern finance. Either the selection of portfolio or risk management involves the estimating and forecast of correlations, so the quest for reliable estimates of correlations has been the hot issue of concern for many researchers. This paper examines the correlations between Chi- na~ A - shares and B - shares markets using the DCC - MGARCH model proposed by Engle in 2002. The empirical results show that ： the correlations are overall positive and obviously time - varying ; the dynamic correlations are relatively low and more volatile from 1997 to 2001, but they obyiously increase and have less volatility after 2001, which indicates that the integration of A - shares and B - shares in Chinese stock market is strengthening ; even though, the correlations have not rised obviously after the high position ; as a whole, the correlations between A - shares and B - shares are relatively low and the nature of market segmentation is still evident. Finally, we employ behavioral finance theory to analyze and explain the dynamic correlations between A - shares and B - shares and its time - varying character.

关 键 词：沪深A B股市场 时变相关性 DCC—MGARCH模型 行为金融 

分 类 号：F830.91[经济管理—金融学]