【摘要】：20世紀(jì)末期以來,隨著經(jīng)濟(jì)全球化的進(jìn)一步深化,國(guó)際股票指數(shù)之間的聯(lián)動(dòng)效應(yīng)越發(fā)緊密,股票市場(chǎng)作為經(jīng)濟(jì)發(fā)展的晴雨表,其收益率相關(guān)性表現(xiàn)的越來越明顯,因而引起了學(xué)術(shù)界的關(guān)注。當(dāng)市場(chǎng)分別處于上漲和下跌階段時(shí),股票指數(shù)收益率的相關(guān)系數(shù)顯著不同,學(xué)術(shù)界將這種現(xiàn)象稱為股票指數(shù)收益率的非對(duì)稱相關(guān)性。本文主要以中國(guó)上證指數(shù)、香港恒生指數(shù)、美國(guó)標(biāo)準(zhǔn)普爾500指數(shù)為例,研究三種股票指數(shù)收益率的非對(duì)稱相關(guān)性。 基于對(duì)參考文獻(xiàn)大量的閱讀和梳理,本文選定股票指數(shù)收益波動(dòng)率、股票指數(shù)收益率相關(guān)系數(shù)的兩種度量方法,并在向量自回歸模型(VAR)的框架下,從理論上證明股票指數(shù)收益率非對(duì)稱相關(guān)性的存在,揭示非對(duì)稱相關(guān)性的產(chǎn)生原因。同時(shí),根據(jù)投資者效用最大化原則及非對(duì)稱相關(guān)效果的產(chǎn)生原因,分別推導(dǎo)出考慮、不考慮非對(duì)稱相關(guān)性的最優(yōu)投資組合,依據(jù)投資組合所計(jì)算出投資于各指數(shù)的權(quán)重,推導(dǎo)具有不同風(fēng)險(xiǎn)偏好的投資者考慮非對(duì)稱相關(guān)性所能獲得的效用增加值,并進(jìn)行實(shí)證。并根據(jù)實(shí)證結(jié)果進(jìn)行總結(jié),對(duì)投資于不同國(guó)家股票市場(chǎng)、具有不同風(fēng)險(xiǎn)偏好的投資者提出不同的投資建議。
[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.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F830.91;F224

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