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中国股票市场与干散货航运市场的动态相关性——基于DCC-MGARCH和VAR模型的实证分析 被引量：12

Dynamic correlation between stock market in China and dry bulk shipping market: empirical analysis based on DCC-MGARCH model and VAR model
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摘要 为探求中国股票市场与干散货航运市场的动态相关性,运用DCC-MGARCH模型和向量自回归(Vector Auto-Regressive,VAR)模型对上证综指和波罗的海干散货指数(Baltic Dry Index,BDI)进行分析,发现这两个市场之间存在信息溢出现象,具有较强的动态相关性.作为重要纽带的上证综指与BDI之间的动态相关性是制定海运运价不可或缺的因素,也可以作为金融资产定价的重要因素. To seek the dynamic correlation between the stock market in China and the dry bulk shipping market,DCC-MGARCH model and Vector Auto-Regressive（ VAR） model are adopted to analyze Shanghai（ securities） composite index and Baltic Dry Index（ BDI）. It can be found that there exists the information overflow phenomenon between the two markets,and thus the two markets are of stronger dynamic correlation. As an important link between the two markets,the dynamic correlation between Shanghai（ securities） composite index and BDI is an indispensable factor to formulate the shipping freight and can also be as an important factor for the financial asset pricing.
作者 唐韵捷 曲林迟
机构地区 上海海事大学经济管理学院
出处 《上海海事大学学报》 北大核心 2015年第1期38-45,共8页 Journal of Shanghai Maritime University
关键词 DCC-MGARCH模型 向量自回归(VAR)模型 波罗的海干散货指数(BDI) 上证综指 动态相关性 DCC-MGARCH model Vector Auto-Regressive（VAR） model Baltic Dry Index（BDI） Shanghai（securities） composite index dynamic correlation
分类号 U695.27 [交通运输工程—港口、海岸及近海工程] F551 [经济管理—产业经济]
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参考文献18

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二级参考文献28

共引文献37

同被引文献95

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引证文献12

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上海海事大学学报
2015年 第1期

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