不同市场态势下东亚股市联动结构变化研究

发布时间：2018-08-01 09:41

【摘要】：为了分析不同市场态势下东亚股市之间联动结构的变化规律,本文在划分中国股市市场态势(牛市,熊市)的前提下,运用非对称随机波动(Asymmetric Stochastic Volatility,ASV)模型刻画东亚主要股市收益率的边缘分布特征,进而结合由Clayton Copula、Gumbel Copula与Frank Copula构成的混合Copula函数对东亚股市之间的联动结构进行建模。研究结果表明:我国股市在"大牛"阶段往往处于分割状态,这种状态虽然能够有效隔离跨市场风险,但体现出我国股市中诸多不成熟因素;同时,就联动结构变化规律而言,各国股市之间的联动结构变化多发生在"熊市"阶段,而"牛市"阶段下的联动结构变化幅度较小,其联动结构与前一期"熊市"阶段中出现的联动结构类似。
[Abstract]:In order to analyze the changing law of the linkage structure between East Asian stock markets under different market situations, this paper divides the market situation of Chinese stock market (bull market, bear market). The asymmetric stochastic volatility (Asymmetric Stochastic volatility model is used to describe the marginal distribution characteristics of the main East Asian stock market returns, and the hybrid Copula function composed of Clayton Copula Gumbel Copula and Frank Copula is used to model the linkage structure between East Asian stock markets. The results show that the stock market in China is often in a segmented state in the "Big Bull" stage, which can effectively isolate cross-market risks, but reflects many immature factors in the stock market of our country; at the same time, in terms of the law of the change of the linkage structure, Most of the changes of the linkage structure between the stock markets of different countries occur in the stage of "bear market", but the change range of the linkage structure in "bull market" stage is relatively small, and its linkage structure is similar to that in the previous stage of "bear market".
【作者单位】：成都理工大学商学院;厦门大学经济学院;
【基金】：国家自然科学基金项目(71171025) 国家社会科学基金项目(12BGL024) 四川省软科学项目(2014ZR0093) 成都理工大学“金融与投资”优秀创新团队计划(KYTD201303)
【分类号】：F831.51

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