【摘要】：在資產(chǎn)市場(chǎng)間的相互關(guān)系方面，許多理論與實(shí)證工作并沒(méi)有形成一致結(jié)論。通過(guò)采用了具有GARCH過(guò)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(dòng)性的動(dòng)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(yàn)了2008年金融危機(jī)期間我國(guó)股票市場(chǎng)與債券市場(chǎng)、黃金市場(chǎng)間的均值溢出效應(yīng)。結(jié)果顯示，我國(guó)股票市場(chǎng)與黃金市場(chǎng)的收益率之間僅具有正向的傳染效應(yīng)，股市危機(jī)期間兩者之間的關(guān)聯(lián)關(guān)系并不顯著，而股市危機(jī)及危機(jī)后期，我國(guó)股票市場(chǎng)與債券市場(chǎng)的收益率之間均存在負(fù)向的安全投資轉(zhuǎn)移，因而債券市場(chǎng)是我國(guó)股市危機(jī)的有效“避風(fēng)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(guò)程的多因素模型，研究了股票市場(chǎng)收益率、利率期限溢價(jià)、匯率價(jià)格改變、煤炭和石油價(jià)格改變對(duì)我國(guó)28個(gè)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(fù)向影響鋼鐵、煤炭石油和商業(yè)連鎖板塊，利率期限溢價(jià)顯著正向影響資本密集型為主的制造業(yè)，石油價(jià)格收益率僅能影響電器、醫(yī)藥和旅游酒店板塊，煤炭?jī)r(jià)格收益率能夠顯著負(fù)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(jià)收益。 ③通過(guò)構(gòu)建二元VAR-DCC-MVGARCH模型，檢驗(yàn)了2008～2011年我國(guó)黃金期貨與現(xiàn)貨市場(chǎng)的相關(guān)性，進(jìn)行了最小化資產(chǎn)組合風(fēng)險(xiǎn)的最優(yōu)套期保值率及其績(jī)效分析。結(jié)果表明，黃金市場(chǎng)僅存在著現(xiàn)貨收益率對(duì)期貨收益率的單向影響，收益率的波動(dòng)間具有高度正相關(guān)的時(shí)變特征，動(dòng)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(fēng)險(xiǎn)。 ④通過(guò)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(gè)框架系統(tǒng)下考察了我國(guó)石油、黃金、利率、匯率和股票市場(chǎng)的均值溢出效應(yīng)和波動(dòng)性的動(dòng)態(tài)相關(guān)性。結(jié)果表明，利率對(duì)匯率、石油對(duì)匯率、黃金對(duì)利率、黃金對(duì)石油存在著單向均值溢出效應(yīng)，僅在股票與黃金市場(chǎng)間具有雙向均值溢出效應(yīng);各市場(chǎng)波動(dòng)性之間均具有動(dòng)態(tài)時(shí)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(fù)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(xiàn)進(jìn)行了比較和探討。 本文為我國(guó)資產(chǎn)市場(chǎng)間的相互關(guān)系方面提供了一些新觀點(diǎn)和新視角，不但豐富了投資組合理論、能源經(jīng)濟(jì)學(xué)等領(lǐng)域的研究?jī)?nèi)容,對(duì)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(fēng)險(xiǎn)控制也具有重要的現(xiàn)實(shí)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(jí)別】：博士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F224;F832.5

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