我国金融市场间联动效应研究------基于混频Copula模型

钟莉,唐勇,朱鹏飞

系统科学与数学 ›› 2019, Vol. 39 ›› Issue (5) : 755-772.

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PDF(940 KB)
系统科学与数学 ›› 2019, Vol. 39 ›› Issue (5) : 755-772. DOI: 10.12341/jssms13644
论文

我国金融市场间联动效应研究------基于混频Copula模型

    钟莉1,2,3,唐勇1,2,3,朱鹏飞1,2,3
作者信息 +

Research on the Co-Movement Effect Between China's Financial Markets --- A Study Based on a Mixed-Frequency Copula Model

    ZHONG Li 1,2,3 ,TANG Yong 1,2,3 ,ZHU Pengfei 1,2,3
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摘要

目前关于风险联动效应的研究主要是基于微观高频或宏观低频数据进行的, 仅采用高频或者低频数据进行分析未能准确刻画市场间的风险联动效应. 针对已有研究的不足, 充分利用微观高频和宏观低频数据信息, 借鉴混频思想, 将混 频Copula模型与CoVaR模型相结合以研究我国股票市场、金融期货市场、大宗商品期货市场、债券市场以及外汇市场间的风险联动效应. 结果表明: GARCH-MIDAS-LI-偏t模型效果最优; 金融市场间的相依结构具有时变性和非对称性; 金融市场间存在着显著的双向风险溢出, 风险溢出 均为正值且存在非对称性; 股市和期市是风险净溢出者, 而大宗商品期市、债市以汇市是风险净 接受者. 此研究对于投资者的投资决策、监管者的监测风险都具有一定的理论意义和现实意义.

Abstract

The existing researches on risk Co-movement is mainly conducted based on micro-high frequency or macro-low frequency data. However, it's difficult to accurately describe the risk Co-movement effect between markets using only high-frequency or low-frequency data. In view of the shortcomings of existing studies, this paper makes full use of the information contained in micro-high frequency and macro-low frequency data by combining mixing Copula model with CoVaR model to study the risk Co-movement effect among China stock market, financial futures market, commodity futures market, bond market and foreign exchange market. The results show that first, the GARCH-MIDAS-LI-skew-t model fit best among the models. Second, the dependent structure of financial market is time varying and asymmetric. Third, there is a significant two-way risk spillover between financial markets, which is positive and asymmetric. And stock and futures markets are net risk spillovers, while commodity, bond and currency markets are net risk takers. This research is of certain theoretical and practical significance for investors' decision making and regulators' risk monitoring.

关键词

混频Copula模型 / CoVaR / 相依结构 / 联动效应.

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钟莉 , 唐勇 , 朱鹏飞. 我国金融市场间联动效应研究------基于混频Copula模型. 系统科学与数学, 2019, 39(5): 755-772. https://doi.org/10.12341/jssms13644
ZHONG Li , TANG Yong , ZHU Pengfei. Research on the Co-Movement Effect Between China's Financial Markets --- A Study Based on a Mixed-Frequency Copula Model. Journal of Systems Science and Mathematical Sciences, 2019, 39(5): 755-772 https://doi.org/10.12341/jssms13644
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