黄金市场与股票市场的尾部风险相关性研究——基于MVMQ-CAViaR模型的实证分析  

Correlation of Tail Risk on Gold and Stock Market——An Empirical Analysis Based on MVMQ-CAViaR Model

作　　者：何红霞[1] 武志胜 吕洋 HE Hongxia;WU Zhisheng;LV Yang(Jiayuguan Central Sub-Branch of People's Bank of China;Yangquan Branch of Industrial and Commercial Bank of China;College of Economics,Northwest Normal University)

机构地区：[1]西北师范大学经济学院,甘肃730070 [2]中国工商银行阳泉分行,山西045000 [3]中国人民银行嘉峪关市中心支行,甘肃735199

出　　处：《当代金融研究》2019年第4期89-100,共12页Journal of Contemporary Financial Research

基　　金：西北师范大学青年教师科研能力提升计划（SKYB16007），西北师范大学青年教师科研提升计划（SKQN15005）;甘肃省社科规划项目（YB048）资助

摘　　要：作为投资者资产组合的重要组成部分,黄金和股票一直是人们关注的焦点,因此,有必要对二者之间的风险相关性进一步研究。本文首次采用MVMQ-CAViaR模型实证研究了我国黄金市场和股票市场的尾部风险相关性,研究发现:(1)从长期看,两者的尾部风险存在显著的负相关关系,股票与黄金互为避险资产。(2)从1%分位数的估计结果动态VaR看,黄金市场与股票市场的尾部风险几乎镜像,但在某些局部时期两市场的尾部风险负相关关系不强,这与我国黄金市场与股票市场的发育程度不同不无关系。(3)黄金市场的尾部风险明显低于股票市场,尤其在2008年和2015年股票市场价格剧烈波动期间,黄金市场的尾部风险较为平稳,而股票市场的尾部风险急剧扩大。(4)实证结果以及动态分位数脉冲响应结果均表明,黄金与股票两种资产的替代效应和挤出效应存在非对称性。As an important part of investors’portfolio,gold and stock have always been the focus of attention.Therefore,it is necessary to further study the risk correlation between them.This paper uses MVMQ-CAViaR model for the first time to empirically study the tail risk correlation between China’s gold market and the stock market.The results show that:(1)In the long run,there is a significant negative correlation in the tail risk of the two markets.Gold can be used as a hedge asset in the stock market.(2)From the dynamic VaR of 1%quantile estimation results,the tail risk of gold market and stock market is almost mirror,but the tail risk of the two markets is not negatively correlated in some periods.(3)The tail risk of the gold market is obviously lower than that of the stock market.Especially during the period of sharp fluctuation of the stock market prices in 2008 and 2015,the tail risk of the gold market is more stable,while the tail risk of the stock market is sharply expanded.(4)Empirical results and dynamic quantile impulse response results show that the substitution effect and extrusion effect of gold and stock assets are asymmetric.

关 键 词：风险溢出 MVMQ-VAR iaR模型 黄金市场 股票市场 

分 类 号：F830.9[经济管理—金融学]