沪港通对我国股票市场与黄金市场交互相关性的影响研究——基于MM-DCCA模型  

The Influence of Shanghai-Hongkong Stock Connect on the Interaction between China s Stock Market and Gold Market——Based on MM-DCCA Model

作　　者：贾娜 陈国庆 龙云安 JIA Na;CHEN Guo-qing;LONG Yun-an(Jincheng College of Sichuan University;School of Economics,Xihua University)

机构地区：[1]四川大学锦城学院,成都611731 [2]西华大学经济学院,成都610039

出　　处：《当代金融研究》2021年第3期17-25,共9页Journal of Contemporary Financial Research

基　　金：国家社会科学基金一般项目“川、渝自贸区与长江上游地区协同发展及路径研究”(19BGL266);四川省、重庆市社会科学规划“成渝地区双城经济圈”重大项目“成渝地区双城经济圈:打造区域协作高水平样板及区域协同发展评价指标研究”(SC20ZDCY009)。

摘　　要：股票市场与黄金市场作为我国金融市场的重要组成部分,研究两市场之间的关系对于维护我国金融市场的稳定发展以及投资者的资产配置具有重要的理论与现实意义。本文首次采用多标度多重分形去趋势交互相关分析(MM-DCCA)模型研究我国股票市场与黄金市场的交互相关性,关注“沪港通”政策对两个市场交互关系的影响,同时探讨两个单一市场及交叉市场具有多重分形性的原因。实证结果表明:(1)我国股票市场、黄金市场的自相关性及两个市场之间的交互相关性具有多重分形特征,两个市场之间的相关性为弱持续性。(2)股票市场的多重分形强度大于黄金市场,交叉市场的多重分形强度介于两个单一市场的多重分形强度之间,且更接近股票市场的多重分形强度,说明我国的黄金市场可对冲股票市场风险。(3)两个市场在不同时间标度下呈现出不同的交互相关性,长期的相关关系比短期的更稳定;“沪港通”政策在一定程度上增强了两个市场之间的联动性,同时也加剧了两个市场之间的风险溢出效应。(4)序列的长程相关性与胖尾概率分布是引起两个单一市场及其交叉市场具有多重分形的共同原因,序列的长程相关性是主导因素。The stock market and the gold market are two important components of financial markets,the study of the relationship between the two markets has important theoretical and practical significance for maintaining the stable development of financial market and investors asset allocation.For the first time,this paper uses multi-scale multifractal detrended cross-correlation analysis(MM-DCCA)model to study the cross-correlation between China s stock market and gold market,focus on the influence of the“Shanghai-Hong Kong stock connect”policy on the relationship between the two markets.Meanwhile,we discuss the reasons why two single markets and their cross markets have multifractality.The empirical results show that:(1)The autocorrelation of the stock market,the gold market and the cross-correlation between the two markets has multifractal characteristics and the cross-correlation between the two markets is weakly persistent.(2)The multifractal strength of the stock market is greater than that of the gold market,and the multifractal strength of the cross market is between the multifractal strength of the two single markets,which is close to the multifractal strength of the stock market,which means that China s gold market can hedge the risk of the stock market.(3)The two markets show different cross correlation under different time scales,and the cross-correlation in the long term is more stable than that in the short term.In addition,the“Shanghai-Hong Kong stock connect”policy enhances the linkage to a certain extent,and also intensifies the risk spillover effect between the two markets.(4)The long-range correlation and fat tail probability distribution of the series are the common reasons for the multifractality of the two single markets and their cross markets,and the long-range correlation of the series is the dominant factor.

关 键 词：股票市场 黄金市场 沪港通 交互相关性 多标度分析 

分 类 号：F830[经济管理—金融学]