不同市场态势下东亚股市联动结构变化研究

The Research of Comovements Structure Changes in East Asia Stock Markets Based on Different Markets States

为了分析不同市场态势下东亚股市之间联动结构的变化规律,本文在划分中国股市市场态势(牛市,熊市)的前提下,运用非对称随机波动(Asymmetric Stochastic Volatility,ASV)模型刻画东亚主要股市收益率的边缘分布特征,进而结合由Clayton Copula、Gumbel Copula与Frank Copula构成的混合Copula函数对东亚股市之间的联动结构进行建模。研究结果表明:我国股市在"大牛"阶段往往处于分割状态,这种状态虽然能够有效隔离跨市场风险,但体现出我国股市中诸多不成熟因素;同时,就联动结构变化规律而言,各国股市之间的联动结构变化多发生在"熊市"阶段,而"牛市"阶段下的联动结构变化幅度较小,其联动结构与前一期"熊市"阶段中出现的联动结构类似。

To analyze the comovement structure changes of East Asia stock markets based on the different markets states, our paper begins by dividing Chinese stock market into the ＂bull market＂ and the ＂bear market＂, and then use the Asymmetric Sto- chastic Volatility model to describe the yields rate marginal distribution of East Asia stock markets. We apply the Mixed-Copu- la function made of Clayton, Frank and Gumbel copula on the comovement structure. The results show that although segmenta- tion can effectively protect Chinese stock market from cross-market contagion, it reflects the undeveloped feature of Chinese stock market. We further find that most of the structure changes occur in the bear market, while in the bull market, the market pattern is similar to that in the previous period..