沪深美港股市的动态相关性研究——兼论次级债危机的冲击

统计研究 ›› 2009, Vol. 26 ›› Issue (2): 21-27.

沪深美港股市的动态相关性研究——兼论次级债危机的冲击

唐齐鸣操巍

收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2009-02-15 发布日期:2009-02-15

Correlation Dynamics between China, US and HK Stock Returns

Received:1900-01-01 Revised:1900-01-01 Online:2009-02-15 Published:2009-02-15

摘要/Abstract

摘要： 本文使用动态相关系数(DCC-MVGARCH)模型，研究了2000年至今中国内地股市和香港股市与美国股市之间的动态相关关系，并对以美国2007年爆发的次级债危机为代表的重大事件对市场间关联程度的冲击进行了分析。研究结果发现，由于开放程度和宏观政策等不确定因素的影响，内地股市和香港股市与美国股市之间的相关关系存在结构性变化，两地市场对重大事件冲击的反应程度也存在显著差别。

Abstract: This paper investigates the correlation dynamics in the equity markets of China, HK and US from 2000 till now using the dynamic conditional correlation GARCH model and the major impacts on the correlation between these markets from major events like the 2007 subprime mortgage crisis. The results reveal that there are structural changes in the correlation between these markets because of the effect of external uncertainty such as the variation on the degree of openness and macroeconomics factor. Meanwhile, their responds to the impacts of major events are significantly different.

Key words: DCC-MVGARCH, subprime mortgage crisis, dynamic conditional correlation, volatility spillover

唐齐鸣操巍. 沪深美港股市的动态相关性研究——兼论次级债危机的冲击[J]. 统计研究, 2009, 26(2): 21-27.