基于修正MF-ADCCA模型的全球股票市场非对称交叉相关性研究  

Asymmetric Multifractal Cross-Correlations Analysis on Global Stock Market Based on Modified MF-ADCCA Model

作　　者：许林[1] 林晓滢 肖万[2] XU Lin;LIN Xiao-ying;XIAO Wan(School of Economics and Finance,South China University of Technology,Guangzhou 510006,China;School of Business Administration,South China University of Technology,Guangzhou 510006,China)

机构地区：[1]华南理工大学经济与金融学院,广东广州510006 [2]华南理工大学工商管理学院,广东广州510006

出　　处：《统计与信息论坛》2021年第10期41-54,共14页Journal of Statistics and Information

基　　金：教育部人文社科基金青年项目“分形市场下股价崩盘风险监测与防范措施研究”(19YJC790163);国家社会科学基金重大项目“粤港澳大湾区跨境资本流动与金融风险防范研究”(19ZDA093);广东省自然科学基金项目“大资管时代下基金营销渠道创新及其风险防范研究”(2018A030310370);国家社会科学基金项目“金融扩大开放下股价崩盘风险的系统性传染机理与防范研究”(21BJL132)。

摘　　要：金融市场扩大开放背景下,股票市场之间的跨国传染效应已得到国内外大量文献证实。以多重分形交叉相关性分析(MF-CCA)模型为基础,修正了非对称交叉相关性分析(MF-ADCCA)模型,系统研究了2010年1月至2020年3月这10年间中国股票市场同美国、英国、德国、中国香港、日本、韩国、印度、巴西以及俄罗斯股票市场间的非对称相关性。首先,检验了各个国家和地区股票市场指数日收益率与日波动率的交叉相关性均具有多重分形特征;其次,结合去趋势交叉相关系数分析发现,短期内中国内地与香港、韩国股指日收益率的交叉相关性最强,但随时间标度增大,中美股指间日收益率的交叉相关性呈明显上升趋势,中国与印度、巴西、俄罗斯股票市场之间的相关性最弱;再次,结合滚动窗口模型研究发现,当全球股市发生暴涨、暴跌等震荡时,中国与其他国家和地区股票市场日波动率间的交叉相关性显著增强,表明存在风险传染效应;最后,研究发现中国股市同其他国家和地区股市之间存在明显的非对称性,相比上涨行情,下跌行情的股市相关性更强且稳定。The multifractal characteristics of financial data and risk contagion effect among the stock market have been widely recognized and proved by literatures.Based on the Multifractal Cross-correlation Analysis method,the asymmetric cross-correlations between the stock market in China and the stock markets in U.S.,U.K.,Germany,China(Hong Kong),Japan,Korea,India,Brazil and Russia are investigated in the period from January 2010 to March 2020.Firstly,the empirical results indicate that the cross-correlations of the return series and the cross-correlations of the volatility series between markets are multifractal.Moreover,combined with the Detrended Cross-Correlation Coefficient,it is found that the cross-correlations between the return series of the Chinese stock market and China(Hong Kong),Korean stock markets are the strongest,while those between the Chinese and BRIC stock markets are the weakest.The cross-correlations between stock markets in China and U.S.are increased with time scale.Furthermore,applying the rolling windows method,it is found that the cross-correlations between the volatility series of China and other stock markets are increased significantly when the global stock market fluchuate sharply,which confirms the existence of risk contagion effect.Last but not least,the empirical results obtained from the modified MF-ADCCA model signify that the cross-correlations between markets are asymmetric and the cross-correlations between markets are more stable and stronger in bear market than those in bull market.The research provides a theoretical support implications for researching the development of global stock market,preventing systemic financial risk and controlling risk contagion effect.

关 键 词：非对称交叉相关性 修正MF-ADCCA模型 多重分形分析 全球股票市场 

分 类 号：F830.91[经济管理—金融学]