摘要
目前投资者对新能源公司股票的重视程度大大提高。本文使用非对称的(BV)GARCH模型研究了我国新能源股票和WTI原油期货收益的波动率外溢与相关性。非对称的(BV)GARCH模型不仅提供了两个市场之间存在波动率外溢的证据,而且发现这两项资产的价格波动存在非对称性。基于上述发现,我们进一步利用非对称的(BV)GARCH模型进行了两项资产的套期保值和投资组合构建分析。实证结果显示,平均来讲,1元的新能源股票多头头寸可以用0.2元的WTI原油期货空头头寸来避险,而对于一个1元的投资组合,则应该投资0.43元于新能源股票,0.57元于WTI原油期货。本文的实证结果为新能源公司股票的投资风险管控和投资决策提供了经验支持。
New energy companies have been paid much more attention by investors these days. In this paper, volatility spillover effect and correlations between stock prices of Chinese new energy companies and oil prices are investigated via Asymmetric （BV） GARCH. Asymmetric （BV） GARCH not only provides evidence of volatility spillover between the markets, but also the asymmetry in the assets volatilities. Based on the empirical results above, we further make hedging and portfolio investment decisions with Asymmetric （BV） GARCH. The results show that, on the average, a RMB 1 long position in new energy companies can be hedged for RMB0.2 with a short position in the crude oil futures market. And if there is a RMB 1 portfolio, then RMB0.43 should be invested in new energy company stocks and RMBO.57 in the crude oil futures. The results may provide empirical suggestions for new energy company stock investors in terms of risk management.
出处
《管理评论》
CSSCI
北大核心
2012年第12期20-30,共11页
Management Review
基金
国家自然科学基金项目(70771097
71071131
71090402)
教育部新世纪优秀人才支持计划(NCET-08-0826)
教育部创新团队发展计划(PCSIRT0860)
中央高校基本科研业务费专项资金项目(SWJTU11ZT30
SWJTU11CX137)
