我国金融市场间动态相关及风险传染的异化分析  

An Analysis of Alienation of Dynamic Correlation and Risk Contagion among Financial Markets in China

作　　者：郑国忠[1] 郑振龙[2] 

机构地区：[1]厦门大学经济学院金融系 [2]厦门大学金融系

出　　处：《东南学术》2014年第2期79-88,247,共10页Southeast Academic Research

基　　金：国家自然科学基金青年项目“投资者风险偏好:度量与应用”(项目编号:71101121)

摘　　要：基于不同市态下我国股市、债市及汇市指数收益数据分析了三者间的动态相关及波动溢出效应,并对相应溢出风险作了量化测度,结论表明:不同市态下,三个金融市场间的动态关联性及波动溢出效应存在明显的异化现象。股市与债市间的波动溢出效应较弱,汇市的波动更多受债市信息的影响。相关金融市场间存在风险传染,其波动溢出效应不但增加了单市场的风险,同时也增加了组合风险;不考虑市场间的波动溢出效应将低估市场风险。Based on earnings figures in China's stock market,bond market and foreign currency market under different market status,the paper analyses the dynamic correlation among the three and their volatility spillover effects and makes a quantitative measure of the responding spillover risks. The conclusion indicates obvious alienation of dynamic correlation and volatility spillover effects among the three financial markets. There is a weak volatility spillover effect between stock market and bond market,the fluctuation in foreign currency market is more influenced by the information from bond market. Risk contagion exists among the related financial markets,their volatility spillover effects not only increases the risk of a single market but also increases the portfolio risk; a market risk will be underestimated if inter- market volatility spillover effects are not put into consideration.

关 键 词：牛市 熊市 动态相关 风险传染 

分 类 号：F830.9[经济管理—金融学]