中国股市风格资产时变联动性及结构突变研究——基于ARMA-GJR-DCC-MVGARCH模型的检验  

An Empirical Research on the Dynamic Correlation and Structural Break in Chinese Stock Markets Based on ARMA-GJR-DCC-MVGARCH Model

作　　者：郭文伟[1] 

机构地区：[1]广东财经大学金融学院,广东广州510320

出　　处：《广东商学院学报》2013年第4期11-22,共12页Journal of Guangdong University of Business Studies

基　　金：国家自然科学基金(71273066);国家社会科学基金青年项目(12CJY006);广东省自然科学基金项目(S2012040008073)

摘　　要：利用中国债券和四种股票风格资产在2004年～2012年的日度数据,构建五元DCC-MV-GARCH模型,分析我国股市风格资产间时变联动性和结构突变点,结果表明:各股票风格资产间存在明显、持续的时变联动性;随着资产规模的下降,四种股票风格资产间的时变联动性在提高,但波动性却在下降;各风格资产间的时变联动性均存在多个结构突变点,这些结构突变点的位置往往伴随着影响股市的重大政策的出台或意味着股市走势拐点的出现。By constructing the DCC-MVGARCH model and adopting the daily data between 2004 and 2012, this paper studies the dynamic conditional correlations and their break points among the bonds and four stock style assets （large-cap growth, large-cap value, small-cap growth and small-cap value ） in China＇s stock markets. The results show that there are continued dynamic correlations among those stock style assets.With the decline in asset size, the degree of dynamic correlation between the four stock style assets is increasing, but the volatility is on the decline. There are some structural break points among these time-varying linkages between the style assets. The occurrence of these structural break points either is often accompanied by the launching of a major policy affecting the stock market, or means the turning point of stock market trend.

关 键 词：股市风格资产 时变联动性 结构突变点 

分 类 号：F832.51[经济管理—金融学]