股票市场与大宗商品市场互动特征比较研究

A Comparative Analysis of Interactive Characteristics between Stock Markets and Bulk Commodity Markets

基于股票市场与大宗商品市场的理论互动机理,选取中国内地、香港及美国三地股市和黄金、石油、铜三类国际大宗商品市场为研究对象,通过构建VAR-TGARCH-AGDCC多元模型,从均值溢出效应、动态相关性维度来检验和比较股票市场与大宗商品市场之间的互动特征。实证结果显示:三类大宗商品市场中,黄金市场具有显著的风险分散功能,与股市的相关性持续较低;石油和金属铜市场受金融危机冲击,"去金融化"进程加速,与股市的联动性在后危机时代显著上升。从中美股市与大宗商品市场的互动差异来看,美国股市与大宗商品市场的信息传递和互动关系最为明显,中国内地和香港股市与大宗商品市场的联动特征相对微弱。这不仅是中国资本市场深度和广度不断增强的重要信号,同时也要求我们更加注重防范市场间的风险传染,加强金融监管,维护股票市场和大宗商品市场的协调发展。

Based on the mechanism of theoretical interaction between stock markets and bulk commodity markets, this paper selectes the stock markets in China's Mainland, Hong Kong and the U.S. and the interna- tional bulk commodity markets of gold, oil and copper markets as research subjects and constructs a VAR-TGARCH-AG-DCC multielement model to test and compare the interactive characteristics between stock markets and bulk commodity markets fTom the dimensions of the mean value spillover effects and the dynamic correlations. The results show that in the markets of the three bulk commodities, the gold market has the obvious function of risk diversification, its correlation with stock markets keeps low; the oil and copper markets are moving faster in the course of de-financialization under the impact of the financial cri- sis, their co-movement with the stock markets is increasing significantly in the post-crisis era. As for the in- teractive difference between the stock markets of China and U.S.A. and the bulk commodity markets, the information transmission and interaction between the U.S. stock markets and commodity markets are most significant, while the co-movement characteristics between the stock markets in China＇s mainland and Hong Kong and the bulk commodity markets are relatively weaker. This is not only an important signal of the ever-intensifying depth and breadth of China＇s capital market, but also a requirement for us to pay more attention to prevent inter-market risk contagion, strengthen financial supervision, and maintain the coordinate development between stock markets and bulk commodity markets.