金砖四国股市波动特征、关联性及其成因分析

The Characteristics,Correlations and Reasons of Stock Market Volatility in BRIC

本文采用动态条件相关双曲记忆GARCH模型对金砖四国的股市波动特征、股市间的联动性与相依性以及股市波动的一体化进行分析。研究表明:金砖四国股市均具有波动聚类性和长记忆性的特征,非对称性特征仅在巴西和俄罗斯股市显著;中国股市与其他国家股市的动态相关性低于其他三国股市间的关联性,但是总体发展趋势基本一致;金砖四国股市间的动态均等相关系数在国际金融危机前总体呈现上升趋势,在后金融危机时期呈现下降的趋势,说明国际金融危机对金砖四国股市的关联性造成了一定程度的冲击,而近年来宏观基本面走势的分道扬镳是导致金砖四国股市间的关联性下降的重要原因。

In this paper,we investigate the linkage,dependency and integration between stock markets of BRIC,with dynamic conditional correlation hyperbolic memory GARCH model. The results have shown that BRIC countries stock markets have the typical characteristics of volatility clustering and long memory,while the asymmetry is only significant in the stock markets of Brazil and Russia; the dynamic conditions correlation of the volatility of stock markets of BRIC show the correlation between China and other three countries are smaller than the correlation between the left three countries,while the overall trend is consistent; the results of dynamic equicorrelation show an overall upward trend before the financial crisis and a downward trend during the post financial crisis period,indicating that the financial crisis has significant influence on the stock market of BRIC,and the parted ways of market fundamental is one of the most important reasons that cause the decrease of the correlation between stock markets of BRIC.