摘要
应用单变量和二元向量SW-ARCH 模型,本文发现我国证券市场收益率波动具有明显的“区制转移”特征,可以将其分为“高波动”和“低波动”两个区制。在“高波动区制”下,沪深两市间具有明显的波动“溢出”和“传染”特征,市场整体风险强;相反,在“低波动区制”下,市场间主要表现“低系统风险”特征,负相关的波动关联性使证券市场具有较强的风险分散功能和较高的资金配置效率。
Using weekly security market Composite Index data for Shanghai Stock Exchange and Shenzhen Stock Ex- change,The authors examine the relationship between correlation and variance in a conditional time and state varying framework.The authors use a switching ARCH technique that does two things.One,it enables us to model variance as state varying.Two,a bi-variant SW-ARCH model allows us to go from conditional variance to state varying covariance and correlations and hence test for differences in correlation between two Exchanges, across variance regimes.We find strong evidence of volatility contagion across security markets when the high- volatility regime charges the markets.But in the low-volatility regime,the state-dependent correlation between markets are negative,this means investors can choice a portfolio with higher Sharpe ratios resulting from our SW-ARCH model compared to a GARCH framework.
出处
《财贸经济》
CSSCI
北大核心
2005年第11期34-38,89,共6页
Finance & Trade Economics
基金
2005年国家自然科学基金项目(70573040)2005年国家社会科学基金项目(05BJY100)2002年教育部重大项目(02JAZJD790007)经济分析与预测哲学社会科学创新基地资助
