新时期金融资产间动态相关系数的正负转换特征研究  

A Study on the Positive and Negative Conversion Characteristics of Dynamic Correlation Coefficient Between Financial Assets in the New Era

作　　者：王聪[1] 吴秉谚 安晓庆 WANG Cong;WU Bing-yan;AN Xiao-qing

机构地区：[1]暨南大学经济学院金融学系

出　　处：《产经评论》2020年第6期145-157,共13页Industrial Economic Review

基　　金：国家社会科学基金一般项目“风险观念、年龄结构与我国家庭投资及消费行为研究”(项目批准号:18BJL116,项目负责人:王聪)。

摘　　要：金融资产间的相关性涉关金融市场稳定、金融风险防范和居民幸福指数提升,2020年初全球性新冠肺炎疫情爆发,金融资产价格波动剧烈,资产间价格相关性的结构性变动显著,探讨金融资产间动态相关系数的正负转换特征具有重要意义。基于我国资产日交易数据考察我国金融资产间的动态相关关系,结果显示:五类金融资产间具有显著的动态相关性,相关系数具有正负转换的特点。股灾爆发前,债券为股票的对冲保值资产,黄金现货是股票的多元化资产;股灾爆发后,二者在股市中的作用恰好相反。股市持续低迷时期,债券再次成为股票的对冲保值资产,黄金现货成为股票的避险资产,新冠肺炎疫情爆发使债券迅速转变为股票的避险资产。其他资产间相关性变化具有相似的特点。除现货与期货间具有较强的正相关性外,其他资产间相关性较弱,各组相关系数的波动幅度较小。The correlation between financial assets is related to the stability of the financial market,the prevention of financial risks,and the improvement of residents'happiness index.With the outbreak of the COVID-19 epidemic in early 2020,financial asset prices fluctuated sharply,and structural changes in price correlation between assets were significant.It is significant to explore the positive and negative conversion characteristics of correlation coefficient between financial assets.Based on the daily transaction data of China's assets,this paper studies the dynamic correlation between China's financial assets.The results show that relationships between five types of financial assets have time-varying features.Before the stock market crash,bonds exhibit a hedge against stocks,and gold is a diversified asset with respect to stocks.After the stock market crash,bonds become diversified assets and gold become a hedge against stocks.Bonds once again become the hedge against stocks,and gold become the safe haven during the continuous downturn of the stock market.At the time of the outbreak of the COVID-19 epidemic,bonds quickly turned into safe haven assets for stocks.The correlations between other assets have similar characteristics.In addition to the strong positive correlation between spot and futures,correlations between other financial assets are weak,and the volatility of the correlation coefficients between financial assets is small.

关 键 词：金融资产 相关系数 正负转换 新冠肺炎疫情 对冲保值资产 

分 类 号：F830.9[经济管理—金融学]