中国资本市场资产价格波动的动态关联性检验  

Dynamic Correlation Test of Asset Price Fluctuation in Chinese Capital Market

作　　者：唐晓彬 董曼茹 乔天立 张瑞 TANG Xiao-bin;DONG Man-ru;QIAO Tian;ZHANG Rui(School of Statistics,University of International Business and Economics,Beijing 100029,China;School of Finance,University of International Business and Economics,Beijing 100029,China;School of Management Science,Chengdu University of Technology,Chengdu 610059,China)

机构地区：[1]对外经济贸易大学统计学院,北京100029 [2]对外经济贸易大学金融学院,北京100029 [3]成都理工大学管理科学学院,四川成都610059

出　　处：《统计与信息论坛》2020年第1期53-63,共11页Journal of Statistics and Information

基　　金：国家社会科学基金项目“大数据背景下地区主要宏观经济指标预测预判方法体系研究”(16BTJ027);对外经济贸易大学惠园优秀青年学者项目(18YQ04);对外经济贸易大学中央高校基本科研业务费专项资金资助“一带一路”研究数据库建设项目(TS4-03)

摘　　要：与以往研究不同,将中国人民币原油期货交易与股票、黄金、国债市场纳入统一研究框架下,采用Markov三区制状态转移模型与动态相关系数模型,探索这四种市场波动率状态及各资产价格之间的动态关联性问题。结果表明,股票市场存在显著的低、中、高三种波动率状态,其他市场仅在低、中波动率状态显著,但原油市场和股票市场所处常态是中波动率的状态;中国债券在一定程度上是其他三种资产的弱对冲保值资产,而黄金资产在中国更多是作为原油和股票的多元化投资而非避险资产,且各市场间存在一定的分割现象。研究结果有助于从理论上分析原油期货市场自身以及与其它资产价格波动的动态关联性特征,并为规避和防控不同资产价格风险、构建有效投资组合提供理论依据;同时,也为监管部门进行有效金融监管和维护资本市场稳定提供理论参考。As important sub-markets of capital market,gold market,oil market,stock market and bond market play an important role in social resource allocation and risk redistribution.At the same time,the volatility status of capital sub-markets and their dynamic correlation also reflect the specific reactions of market participants to the economic operation to some extent.However,existing studies have focused on discussions between two sub-markets.This paper uses the Markov regime switching model and the dynamic correlation coefficient model(DCC)to study the price fluctuation and dynamic correlation of four assets in China’s capital market,which are stocks,national debt,gold and crude oil.Based on the price data of stocks,bonds,gold and crude oil futures in China’s capital market,this paper divides China’s capital market volatility state into high volatility state,medium volatility state and low volatility state using the Markov Regime Switching model.Then the Dynamic Conditional Correlation(DCC)method is used to analyze the dynamic correlation between the four asset returns under different fluctuation states.The results of the Markov regime switching model show that there are significant high,medium and low volatility states in the stock market,while national debt,gold and crude oil market only show low and middle volatility states significantly.The medium volatility state of stock market and crude oil market has longer average duration than the low volatility state,while the bond and gold markets are in the opposite situation.Therefore there are more uncertain risks in the stock market and crude oil market,and the low-risk characteristic of the bond market makes bond a safe haven asset.In the face of major events,the four market have responded in a timely and accurate manner,especially the stock market quickly shifting from low volatility state to high volatility state.Based on the identification and differentiation of the volatility status of these four capital markets,the dynamic correlation coefficient model is u

关 键 词：资本市场 投资组合 Markov状态转换模型 DCC模型 动态关联性 

分 类 号：F830.91[经济管理—金融学]