發(fā)布時間：2018-12-26 09:52

【摘要】：在資產(chǎn)市場間的相互關(guān)系方面，許多理論與實證工作并沒有形成一致結(jié)論。通過采用了具有GARCH過程的多因素或者向量自回歸模型，本文探討了石油、黃金、股票和匯率等資產(chǎn)間的均值溢出效應(yīng)及波動性的動態(tài)相關(guān)性，并給出了研究結(jié)果的政策涵義。論文的主要特色和結(jié)論如下： ①利用單變量GARCH模型，檢驗了2008年金融危機期間我國股票市場與債券市場、黃金市場間的均值溢出效應(yīng)。結(jié)果顯示，我國股票市場與黃金市場的收益率之間僅具有正向的傳染效應(yīng)，股市危機期間兩者之間的關(guān)聯(lián)關(guān)系并不顯著，而股市危機及危機后期，我國股票市場與債券市場的收益率之間均存在負向的安全投資轉(zhuǎn)移，因而債券市場是我國股市危機的有效“避風港”。 ②以2006年10月至2010年7月的周度數(shù)據(jù)為樣本，采用具有GARCH過程的多因素模型，研究了股票市場收益率、利率期限溢價、匯率價格改變、煤炭和石油價格改變對我國28個行業(yè)板塊超額收益的影響。結(jié)果表明，匯率改變能夠顯著負向影響鋼鐵、煤炭石油和商業(yè)連鎖板塊，利率期限溢價顯著正向影響資本密集型為主的制造業(yè)，石油價格收益率僅能影響電器、醫(yī)藥和旅游酒店板塊，煤炭價格收益率能夠顯著負向影響電力消耗量較大的公用事業(yè)和建筑業(yè)，但石油和煤炭收益率均不能顯著影響煤炭石油板塊的股價收益。 ③通過構(gòu)建二元VAR-DCC-MVGARCH模型，檢驗了2008～2011年我國黃金期貨與現(xiàn)貨市場的相關(guān)性，進行了最小化資產(chǎn)組合風險的最優(yōu)套期保值率及其績效分析。結(jié)果表明，黃金市場僅存在著現(xiàn)貨收益率對期貨收益率的單向影響，收益率的波動間具有高度正相關(guān)的時變特征，動態(tài)套期保值組合可以有效地規(guī)避黃金現(xiàn)貨的投資風險。 ④通過構(gòu)建五元VAR-DCC-MVGARCH模型，采用2005年7月至2011年3月的交易數(shù)據(jù)，在一個框架系統(tǒng)下考察了我國石油、黃金、利率、匯率和股票市場的均值溢出效應(yīng)和波動性的動態(tài)相關(guān)性。結(jié)果表明，利率對匯率、石油對匯率、黃金對利率、黃金對石油存在著單向均值溢出效應(yīng)，僅在股票與黃金市場間具有雙向均值溢出效應(yīng);各市場波動性之間均具有動態(tài)時變特征，，其中，股票與利率、匯率與利率、石油與匯率、黃金與匯率具有負相關(guān)性，股票與石油、股票與黃金、黃金與利率、黃金與石油間則呈現(xiàn)出明顯的正向關(guān)聯(lián)。最后將結(jié)果與現(xiàn)有研究文獻進行了比較和探討。 本文為我國資產(chǎn)市場間的相互關(guān)系方面提供了一些新觀點和新視角，不但豐富了投資組合理論、能源經(jīng)濟學(xué)等領(lǐng)域的研究內(nèi)容,對于宏觀調(diào)控政策的制定、投資者的資產(chǎn)組合構(gòu)建和風險控制也具有重要的現(xiàn)實參考意義。
[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.
【學(xué)位授予單位】：重慶大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F224;F832.5

【參考文獻】

相關(guān)期刊論文 前10條

1 胡曉鵬;;“后危機時期”中國經(jīng)濟發(fā)展的戰(zhàn)略取向[J];財經(jīng)科學(xué);2010年01期

2 馬超群;劉鈺;姚錚;袁夢兮;路文金;;股指期貨最小風險套期保值比率計算方法及實證研究[J];系統(tǒng)工程;2008年09期

3 肖倬;郭彥峰;;黃金現(xiàn)貨價格和黃金礦業(yè)股價格的動態(tài)關(guān)聯(lián)性[J];系統(tǒng)工程;2009年03期

4 唐海仕;羅新星;;石油價格沖擊對我國實際匯率波動的影響程度[J];系統(tǒng)工程;2010年06期

5 羅松;嚴敏;;我國股市與匯市間信息傳導(dǎo)的實證研究[J];系統(tǒng)工程;2010年12期

6 郭彥峰;肖倬;;中美黃金市場的價格發(fā)現(xiàn)和動態(tài)條件相關(guān)性研究[J];國際金融研究;2009年11期

7 郭璐;韓立巖;李東輝;;交叉上市的信息傳遞及整合性:股改前后的變化——來自滬市A、B股的證據(jù)[J];管理世界;2009年01期

8 樊智,張世英;多元GARCH建模及其在中國股市分析中的應(yīng)用[J];管理科學(xué)學(xué)報;2003年02期

9 梁爽;;中國貨幣政策與資產(chǎn)價格之間的關(guān)系研究[J];經(jīng)濟科學(xué);2010年06期

10 孫華妤,馬躍;中國貨幣政策與股票市場的關(guān)系[J];經(jīng)濟研究;2003年07期

本文編號：2391923