股票指数收益率非对称相关性研究
发布时间：2018-10-23 20:11
【摘要】：20世纪末期以来,随着经济全球化的进一步深化,国际股票指数之间的联动效应越发紧密,股票市场作为经济发展的晴雨表,其收益率相关性表现的越来越明显,因而引起了学术界的关注。当市场分别处于上涨和下跌阶段时,股票指数收益率的相关系数显著不同,学术界将这种现象称为股票指数收益率的非对称相关性。本文主要以中国上证指数、香港恒生指数、美国标准普尔500指数为例,研究三种股票指数收益率的非对称相关性。 基于对参考文献大量的阅读和梳理,本文选定股票指数收益波动率、股票指数收益率相关系数的两种度量方法,并在向量自回归模型(VAR)的框架下,从理论上证明股票指数收益率非对称相关性的存在,揭示非对称相关性的产生原因。同时,根据投资者效用最大化原则及非对称相关效果的产生原因,分别推导出考虑、不考虑非对称相关性的最优投资组合,依据投资组合所计算出投资于各指数的权重,推导具有不同风险偏好的投资者考虑非对称相关性所能获得的效用增加值,并进行实证。并根据实证结果进行总结,对投资于不同国家股票市场、具有不同风险偏好的投资者提出不同的投资建议。
[Abstract]:Since the end of the 20th century, with the further deepening of economic globalization, the linkage effect between international stock indices has become more and more closely. As a barometer of economic development, the correlation between the returns of the stock market has become more and more obvious. As a result, it has attracted the attention of the academic community. When the market is in the stage of rising and falling, the correlation coefficient of stock index yield is significantly different, which is referred to as asymmetric correlation of stock index yield in academic circles. Taking the Shanghai Stock Exchange Index of China, Hang Seng Index of Hong Kong and Standard & Poor's 500 Index of the United States as examples, this paper studies the asymmetric correlation of returns of three stock indices. Based on the extensive reading and combing of references, this paper selects two measurement methods of stock index return volatility, stock index return correlation coefficient, and under the framework of vector autoregressive model (VAR), This paper theoretically proves the existence of asymmetric correlation of stock index yield and reveals the cause of asymmetric correlation. At the same time, according to the principle of investor utility maximization and the cause of asymmetric correlation effect, the optimal investment portfolio which considers, does not consider the asymmetric correlation, calculates the weight of each index according to the investment portfolio. The utility added value of investors with different risk preference considering asymmetric correlation is deduced and proved. Based on the empirical results, different investment suggestions are put forward for investors who invest in stock markets in different countries and have different risk preferences.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.91;F224
本文编号：2290340
[Abstract]:Since the end of the 20th century, with the further deepening of economic globalization, the linkage effect between international stock indices has become more and more closely. As a barometer of economic development, the correlation between the returns of the stock market has become more and more obvious. As a result, it has attracted the attention of the academic community. When the market is in the stage of rising and falling, the correlation coefficient of stock index yield is significantly different, which is referred to as asymmetric correlation of stock index yield in academic circles. Taking the Shanghai Stock Exchange Index of China, Hang Seng Index of Hong Kong and Standard & Poor's 500 Index of the United States as examples, this paper studies the asymmetric correlation of returns of three stock indices. Based on the extensive reading and combing of references, this paper selects two measurement methods of stock index return volatility, stock index return correlation coefficient, and under the framework of vector autoregressive model (VAR), This paper theoretically proves the existence of asymmetric correlation of stock index yield and reveals the cause of asymmetric correlation. At the same time, according to the principle of investor utility maximization and the cause of asymmetric correlation effect, the optimal investment portfolio which considers, does not consider the asymmetric correlation, calculates the weight of each index according to the investment portfolio. The utility added value of investors with different risk preference considering asymmetric correlation is deduced and proved. Based on the empirical results, different investment suggestions are put forward for investors who invest in stock markets in different countries and have different risk preferences.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.91;F224
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