我国资产市场间均值溢出效应及波动的相关性研究

发布时间：2018-12-26 09:52

【摘要】：在资产市场间的相互关系方面，许多理论与实证工作并没有形成一致结论。通过采用了具有GARCH过程的多因素或者向量自回归模型，本文探讨了石油、黄金、股票和汇率等资产间的均值溢出效应及波动性的动态相关性，并给出了研究结果的政策涵义。论文的主要特色和结论如下： ①利用单变量GARCH模型，检验了2008年金融危机期间我国股票市场与债券市场、黄金市场间的均值溢出效应。结果显示，我国股票市场与黄金市场的收益率之间仅具有正向的传染效应，股市危机期间两者之间的关联关系并不显著，而股市危机及危机后期，我国股票市场与债券市场的收益率之间均存在负向的安全投资转移，因而债券市场是我国股市危机的有效“避风港”。 ②以2006年10月至2010年7月的周度数据为样本，采用具有GARCH过程的多因素模型，研究了股票市场收益率、利率期限溢价、汇率价格改变、煤炭和石油价格改变对我国28个行业板块超额收益的影响。结果表明，汇率改变能够显著负向影响钢铁、煤炭石油和商业连锁板块，利率期限溢价显著正向影响资本密集型为主的制造业，石油价格收益率仅能影响电器、医药和旅游酒店板块，煤炭价格收益率能够显著负向影响电力消耗量较大的公用事业和建筑业，但石油和煤炭收益率均不能显著影响煤炭石油板块的股价收益。 ③通过构建二元VAR-DCC-MVGARCH模型，检验了2008～2011年我国黄金期货与现货市场的相关性，进行了最小化资产组合风险的最优套期保值率及其绩效分析。结果表明，黄金市场仅存在着现货收益率对期货收益率的单向影响，收益率的波动间具有高度正相关的时变特征，动态套期保值组合可以有效地规避黄金现货的投资风险。 ④通过构建五元VAR-DCC-MVGARCH模型，采用2005年7月至2011年3月的交易数据，在一个框架系统下考察了我国石油、黄金、利率、汇率和股票市场的均值溢出效应和波动性的动态相关性。结果表明，利率对汇率、石油对汇率、黄金对利率、黄金对石油存在着单向均值溢出效应，仅在股票与黄金市场间具有双向均值溢出效应;各市场波动性之间均具有动态时变特征，，其中，股票与利率、汇率与利率、石油与汇率、黄金与汇率具有负相关性，股票与石油、股票与黄金、黄金与利率、黄金与石油间则呈现出明显的正向关联。最后将结果与现有研究文献进行了比较和探讨。本文为我国资产市场间的相互关系方面提供了一些新观点和新视角，不但丰富了投资组合理论、能源经济学等领域的研究内容,对于宏观调控政策的制定、投资者的资产组合构建和风险控制也具有重要的现实参考意义。
[Abstract]:In terms of the relationship between asset markets, many theoretical and empirical work has not reached a consistent conclusion. By using the multi-factor or vector autoregressive model with GARCH process, this paper discusses the dynamic correlation of the mean spillover effect and volatility between oil, gold, stock and exchange rate, and gives the policy implication of the research results. The main characteristics and conclusions of this paper are as follows: 1 using univariate GARCH model, the mean spillover effect between China's stock market and bond market and gold market during the financial crisis of 2008 was tested. The results show that there is only a positive contagion effect between the stock market and the gold market, and the correlation between the two is not significant during the stock market crisis, but the stock market crisis and its late period. There is a negative and safe investment transfer between the stock market and the bond market, so the bond market is an effective "safe haven" for the stock market crisis in China. (2) taking the cycle data from October 2006 to July 2010 as samples, using the multi-factor model with GARCH process, the paper studies the stock market yield, the term premium of interest rate, and the change of exchange rate price. The impact of coal and oil price changes on the excess returns of 28 sectors in China. The results show that exchange rate changes can significantly negatively affect steel, coal, oil and commercial chains, interest rate term premiums significantly positively affect capital-intensive manufacturing, and oil price yields can only affect electrical appliances. In medicine and tourist hotel sectors, coal price yields can significantly negatively affect utilities and construction that consume more electricity, but neither oil nor coal yields can significantly affect share price returns in coal and oil sectors. By constructing a dual VAR-DCC-MVGARCH model, this paper examines the correlation between gold futures and spot market in China from 2008 to 2011, and analyzes the optimal hedging rate and its performance in minimizing portfolio risk. The results show that there is only a one-way effect of spot return on futures yield in gold market, and the volatility of return has a highly positive correlation with time varying characteristics. Dynamic hedging portfolio can effectively avoid the investment risk of gold spot. By constructing a five-element VAR-DCC-MVGARCH model and using the transaction data from July 2005 to March 2011, we investigate the oil, gold and interest rates of China under a framework system. The dynamic correlation between average spillover effect and volatility of exchange rate and stock market. The results show that interest rate to exchange rate, oil to exchange rate, gold to interest rate, gold to oil have one-way mean spillover effect, and only have two-way mean spillover effect between stock and gold market. Among them, stock and interest rate, exchange rate and interest rate, oil and exchange rate, gold and exchange rate have negative correlation, stock and oil, stock and gold, gold and interest rate, Gold and oil show a clear positive correlation. Finally, the results are compared and discussed with the existing literature. This paper provides some new viewpoints and new perspectives for the relationship between asset markets in China. It not only enriches the research contents of portfolio theory and energy economics, but also makes macro-control policies. Investors' portfolio construction and risk control also have important practical reference significance.
【学位授予单位】：重庆大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F224;F832.5

【参考文献】