大宗商品与股票市场联动性研究:基于融资流动性的视角

发布时间：2018-04-21 18:06

本文选题：大宗商品 + 融资流动性　；参考：《金融研究》2017年07期

【摘要】：本文旨在借鉴融资流动性理论探讨大宗商品市场与股票市场联动性演变的内在机制。研究发现,自2000年以来,大宗商品与股票市场的相关性经历了先上升后下降又上升的巨幅波动,本文构建的流动性指数可以解释二者相关性变化的17%。当流动性状况恶化时,大宗商品和股票市场的相关性显著上升,而且市场状况对相关性的影响也源自流动性的差异。本文研究表明,金融市场整体流动性状况的变化是影响大宗商品与股票市场联动性的重要因素。本文不仅为探讨大宗商品与股票市场间联动性提供了新视角,而且对大类资产配置实践也具有重要的参考价值。
[Abstract]:The purpose of this paper is to explore the internal mechanism of the linkage between commodity market and stock market based on the theory of financing liquidity. The study found that the correlation between commodity and stock market has experienced a big fluctuation since 2000. The liquidity index constructed in this paper can explain 17% of the change of correlation between the two. When liquidity conditions deteriorate, the correlation between commodities and equity markets increases significantly, and the impact of market conditions on the correlation is also due to liquidity differences. This paper shows that the change of overall liquidity is an important factor affecting the linkage between commodity and stock market. This paper not only provides a new perspective for exploring the interaction between commodity and stock market, but also has important reference value for the practice of large asset allocation.
【作者单位】：对外经济贸易大学;中国人寿资产管理有限公司;
【基金】：国家自然科学基金(批准号:71502034) 对外经济贸易大学中央高校基本科研业务费专项资金(批准号:16YQ04和CXTD7-04)的资助
【分类号】：F832.51

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