绿色债券市场和能源行业股票市场的风险溢出效应研究  

A Study on Risk Spillover Effect of Green Bond Market and Energy Sector’s Stock Market

作　　者：章雅洁 钟意 Zhang Yajie;Zhong Yi(College of Economics&Management,China Jiliang University,Hangzhou,Zhejiang 310000)

机构地区：[1]中国计量大学经济与管理学院,浙江杭州310000

出　　处：《中国商论》2024年第4期117-120,共4页China Journal of Commerce

基　　金：国家自然科学基金面上项目“逆向交叉上市与海外主动退市的理论与实证研究”(71473235);中国博士后科学基金“金融稳定目标下的货币政策有效性研究”(2016M600132)的资助。

摘　　要：本文使用四种多元GARCH模型分析中国绿色债券市场与传统能源行业股票市场之间的动态条件相关和波动性溢出效应。实证结果表明,DCC-GARCH模型拟合样本数据最好,并且能够利用该模型构建套期保值比率和最优投资组合权重。此外,在绿色债券和传统能源产业的股市之间,有着显著的动态关系,并且呈现较为明显地双向波动性溢出效应。最后,本文利用DCC模型中的条件波动率来估计套期保值比率,为投资者在绿色债券市场和传统能源股票市场上投资提出套期保值建议,以规避投资风险。This paper uses four multivariate GARCH models to analyze the dynamic conditional correlation and volatility spillover effect between the Chinese green bond market and the traditional energy industry’s stock market.The empirical results show that the DCC-GARCH model fits the sample data best and can be used to establish hedge ratios and optimal portfolio weights.This paper finds that there is a significant dynamic conditional correlation between the green bond market and the traditional energy industry’s stock market,and a prominent two-sided volatility spillover effect.In addition,this paper uses the conditional volatility in the DCC model to estimate the dynamic hedge ratio and make hedge ratio suggestions for investors’investment in the green bond market and the traditional energy industry’s stock market to avoid investment risks.

关 键 词：绿色债券 传统能源 多元GARCH模型 波动性溢出效应 绿色金融 

分 类 号：F832.4[经济管理—金融学]