股票市场与大宗商品市场互动特征比较研究

发布时间：2018-07-09 22:38

本文选题：股票市场 + 大宗商品市场　；参考：《当代财经》2014年06期

【摘要】：基于股票市场与大宗商品市场的理论互动机理,选取中国内地、香港及美国三地股市和黄金、石油、铜三类国际大宗商品市场为研究对象,通过构建VAR-TGARCH-AGDCC多元模型,从均值溢出效应、动态相关性维度来检验和比较股票市场与大宗商品市场之间的互动特征。实证结果显示:三类大宗商品市场中,黄金市场具有显著的风险分散功能,与股市的相关性持续较低;石油和金属铜市场受金融危机冲击,"去金融化"进程加速,与股市的联动性在后危机时代显著上升。从中美股市与大宗商品市场的互动差异来看,美国股市与大宗商品市场的信息传递和互动关系最为明显,中国内地和香港股市与大宗商品市场的联动特征相对微弱。这不仅是中国资本市场深度和广度不断增强的重要信号,同时也要求我们更加注重防范市场间的风险传染,加强金融监管,维护股票市场和大宗商品市场的协调发展。
[Abstract]:Based on the theoretical interaction mechanism between stock market and commodity market, three international commodity markets, gold, oil and copper, are selected as the research object, and the VAR-TGARCH-AGDCC multivariate model is constructed. The characteristics of interaction between stock market and commodity market are tested and compared from mean spillover effect and dynamic correlation dimension. The empirical results show that among the three commodity markets, the gold market has a significant risk dispersion function, and the correlation with the stock market remains low; the oil and metal copper markets have been hit by the financial crisis, and the "de-financialization" process has accelerated. The linkage with the stock market has risen significantly in the post-crisis era. In terms of the interaction between Chinese and U.S. stocks and commodity markets, the message transmission and interaction between U.S. stocks and commodity markets are the most obvious, and the linkage between mainland China and Hong Kong stocks and commodity markets is relatively weak. This is not only an important signal of the increasing depth and breadth of China's capital market, but also requires us to pay more attention to the prevention of risk contagion between markets, strengthen financial supervision, and maintain the coordinated development of the stock market and the commodity market.
【作者单位】：湖南大学金融与统计学院;
【分类号】：F832.5;F831.5

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