我国证券投资基金、股票市场和债券市场的溢出风险测度——来自上海证券市场的证据
本文关键词：我国证券投资基金、股票市场和债券市场的溢出风险测度——来自上海证券市场的证据，，由笔耕文化传播整理发布。
《Zhejiang Finance》 2011-06
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我国证券投资基金、股票市场和债券市场的溢出风险测度——来自上海证券市场的证据
Based on the VAR-DCC-MGARCH model,this paper analyzes the related volatility and spillover effect among Shanghai funds index,Shanghai stock index and Shanghai bond index,then estimates the VaR of three markets,and gets validation test by using testing method of probability of failures.The conclusions are that:there always are positive correlations existing between Fund market and stock market;the dynamic conditional correlation coefficient between stock market and bond market and the dynamic conditional correlation coefficient between fund market and the bond market have highly time-varying characteristics and similar trends,but the statistical result shows that the correlation between fund market and bond market is not significant.Fund market has significant volatility spillover effect on itself and stock market.Stock market has significant volatility spillover effect on bond market and fund market.Given some probability of expected loss,this paper also found that the VaR of fund index yields has the most dramatic fluctuations;and the ratio of risk to return for stock index return of VaR is the biggest,and considering the VaR which excludes other market Volatility's influence,three markets can bear greater risks,that is to say,they can accept more losses.
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本文关键词：我国证券投资基金、股票市场和债券市场的溢出风险测度——来自上海证券市场的证据，由笔耕文化传播整理发布。
本文编号：108843
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