中国可转债市场与股票市场的动态关系研究——基于DCC-MGARCH模型的分析  

Research on Dynamic Correlation between Chinese Convertible Bonds and Stock Markets

作　　者：胡秋灵[1] 张苏凤[1] 王宁[1] 

机构地区：[1]陕西师范大学国际商学院,陕西西安710062

出　　处：《经济与管理》2010年第11期26-31,共6页Economy and Management

基　　金：国家社会科学基金项目(07BJY169);教育部人文社科基金项目(06JA790068);陕西师范大学"211工程"三期重点学科建设项目;陕西师范大学人文社会科学基金重点项目(09SZD11)

摘　　要：近年来,DCC-MGARCH模型已经被成熟地运用到对一些金融市场间关系的研究中,运用DCC-MGARCH模型对可转债市场与股票市场间的动态相关系数进行研究,采用全局综合与局部分析的方法,刻画上述两金融市场间相关系数的动态时变特征,结果表明:采用DCC-MGARCH模型对可转债市场与股票市场间关系的研究是有效且可行的。In recent years,DCC-MGARCH model has been applied maturely in some studies about the relationship among financial markets.Convertible bond market is one of the few financial derivative markets in China,but the study on the relationship between convertible bonds market and other financial markets,especially the relationship with the stock market,is relatively rare.Therefore,this paper firstly uses the DCC-MGARCH model to analyze the dynamic correlation coefficient between convertible bond and stock markets,and applies the global and local analysis methods to accurately depict the dynamic time-varying characteristics of the correlation coefficient between the two financial markets,which shows that the DCC-MGARCH model is effective and feasible in the study of the relationship between the stock and convertible bond market.

关 键 词：DCC-MGARCH模型 可转债市场 股票市场 动态相关系数 

分 类 号：F832.5[经济管理—金融学]