本文選題：資產(chǎn)聯(lián)動 + 動態(tài)相關(guān)性��； 參考：《南京大學(xué)》2013年碩士論文

【摘要】：隨著世界經(jīng)濟(jì)一體化的逐步加強(qiáng),不同地區(qū)和不同市場之間的聯(lián)系表現(xiàn)的愈發(fā)緊密,進(jìn)而出現(xiàn)了大量關(guān)于資產(chǎn)聯(lián)動的理論與實(shí)證研究。但目前國內(nèi)對金融資產(chǎn)的研究焦點(diǎn)主要集中在股票等相對成熟的金融市場,我國的黃金市場由于起步晚,機(jī)制不夠完整,產(chǎn)品種類也不如國外先進(jìn)市場豐富,相關(guān)研究并不深入。但自上海黃金交易所成立以來,國內(nèi)黃金價(jià)格形成機(jī)制逐步向國際接軌,黃金價(jià)格的波動愈發(fā)市場化,與其他金融資產(chǎn)的聯(lián)動性也逐步增強(qiáng)。而近十年來,尤其是在金融危機(jī)、歐債危機(jī)、美國一系列量化寬松政策的推出等因素的影響下,黃金價(jià)格屢創(chuàng)新高,投資者對黃金的需求大大增加,國際上出現(xiàn)的一系列包含黃金資產(chǎn)的投資組合也大受歡迎。因而,研究股票、債券、黃金資產(chǎn)之間的相關(guān)性是十分必要的。 本文借鑒了國內(nèi)外關(guān)于資產(chǎn)聯(lián)動關(guān)系的相關(guān)研究成果,以中國市場上股票、債券、黃金三種金融資產(chǎn)的相關(guān)性作為研究對象,選擇Li Xiaoming(2008)提出的混合不對稱DCC(MADCC)模型,在多變量GARCH模型的估計(jì)基礎(chǔ)之上,檢驗(yàn)了金融危機(jī)背景下,中國政府的一系列宏觀調(diào)控政策對于資產(chǎn)間動態(tài)相關(guān)系數(shù)的影響。結(jié)合實(shí)際的經(jīng)濟(jì)運(yùn)行狀況,我們發(fā)現(xiàn)政府的貨幣政策通過對單個資產(chǎn)產(chǎn)生影響,進(jìn)而影響到了資產(chǎn)間的聯(lián)動關(guān)系。在2008年末政府為了刺激經(jīng)濟(jì)而放寬貨幣政策之后,股票-黃金、債券-黃金之間均表現(xiàn)出相關(guān)系數(shù)的增加,股票-債券之間則表現(xiàn)出由正相關(guān)變?yōu)榱素?fù)相關(guān)；而在2010年底政府為了對抗日益加劇的通貨膨脹,相對收緊了信貸閘門之后,股票-黃金、股票-債券、債券-黃金之間均表現(xiàn)出相關(guān)系數(shù)下降。 此外,我們通過信息曲面對三個市場在聯(lián)合沖擊下的非對稱性反應(yīng)進(jìn)行了研究。我們發(fā)現(xiàn),對于股票-黃金、股票-債券而言,它們的相關(guān)系數(shù)都表現(xiàn)出對聯(lián)合負(fù)沖擊更強(qiáng)的反應(yīng),而對債券-黃金相關(guān)性而言,則表現(xiàn)出對聯(lián)合正沖擊的反應(yīng)更強(qiáng)。這意味著股票和黃金、股票和債券市場之間同時(shí)下跌的可能性比同時(shí)上漲的可能性更大,而債券和和黃金市場之間則同時(shí)上漲的可能性更大。
[Abstract]:With the gradual strengthening of world economic integration, the relationship between different regions and different markets is becoming more and more close, and a large number of theoretical and empirical studies on asset linkage have emerged.However, at present, the focus of domestic research on financial assets is mainly focused on relatively mature financial markets such as stocks. Due to the late start of the gold market in our country, the mechanism is not complete enough, and the variety of products is not as rich as that in the foreign advanced markets.The relevant research is not deep.However, since the establishment of the Shanghai Gold Exchange, the domestic gold price formation mechanism has gradually been in line with international standards, the fluctuation of gold prices has become more market-oriented, and the linkage with other financial assets has been gradually strengthened.Over the past decade, especially under the influence of the financial crisis, the European debt crisis, and the introduction of a series of quantitative easing policies in the United States, gold prices have repeatedly reached new highs, and investors' demand for gold has greatly increased.A range of international portfolios containing gold assets is also popular.Therefore, it is necessary to study the correlation between stocks, bonds and gold assets.This paper draws lessons from the domestic and foreign related research results on the relationship of asset linkage, taking the correlation of stock, bond and gold in the Chinese market as the object of study, chooses the mixed asymmetric DCCMADCCmodel proposed by Li Xiaomingli 2008).Based on the estimation of multivariate GARCH model, this paper examines the influence of a series of macro-control policies of Chinese government on the dynamic correlation coefficient between assets under the background of financial crisis.Combined with the actual economic operation, we find that the monetary policy of the government has an impact on individual assets, and then affects the linkage between assets.After the government relaxed monetary policy in order to stimulate the economy in late 2008, the correlation coefficient between stock and gold and bond and gold were increased, and the relationship between stock and bond changed from positive correlation to negative correlation.After the government tightened the credit floodgates relative to rising inflation at the end of 2010, stocks-gold, equities-bonds and bonds-all showed a decline in correlation.In addition, we study the asymmetric response of three markets under joint impact through information surfaces.We found that for equities-gold, equities-bonds, their correlation coefficient showed a stronger response to joint negative shocks, while for bond-gold correlation, they showed stronger response to joint positive shocks.This means that stocks and gold, stocks and bonds are more likely to fall at the same time than to rise at the same time, while bond and gold markets are more likely to rise at the same time.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F123.16;F832.5;F224

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