中国股市非对称相关效应:基于行业视角的分析

Asymmetric Correlations in China Stock Market: An Empirical Analysis from the Aspect of Industries

本文以条件相关系数和CH统计量来研究中国股市的非对称相关问题。研究结果表明:我国股市总体上表现出负向非对称相关,但在熊市阶段则表现为正向非对称相关。我国股市的非对称相关效应主要表现在牛市中,这与以往的研究结论不同。本文最后从投资者的过度预期、市场交易机制等方面解释了中国股市非对称相关效应产生的原因。

Researches in asymmetric correlations of asset’s return have crucial significance for asset pricing, asset selection strategy and risk management. Asymmetric correlations in China stock market was investigated by the method of conditional correlation and CH statistic in this paper. The results indicate that China stock market has the negative asymmetric correlation as a whole, however, the during bear markets it shows a positive asymmetric correlation. The effect of asymmetric correlation was mainly exhibited in bull market, which is different from the previous research result. Finally, this paper discusses the reason for asymmetric correlation character shown in China stock market from the aspects of investors’ overexpectation, stock market’s trading mechanism.