金融行业与实体行业间的动态相关性研究

Research on Dynamic Correlation between the Financial Industry and Real Industry

本文依据2013~2023年中证行业指数日收益率数据,通过构建单变量时间序列的GARCH模型生成标准差,进一步建立DCC-GARCH模型来分析我国金融行业与实体行业股票市场收益率波动的动态相关关系。实证结果表明,我国金融行业与各实体行业间收益率波动存在动态关联性。金融行业与医药卫生行业、金融行业与公用事业行业、金融行业与工业行业收益率波动的动态相关性从高到低排在前三位,金融行业与主要消费行业的动态相关性最弱。随着我国经济的发展,实体行业与金融体系间的联系日益紧密,研究其风险波动溢出具有重要意义,需从金融体系、实体行业、金融监管三个方面协同构建监管框架,预防金融实体行业间的极端风险。

Based on the daily return data of China Securities industry index from 2013 to 2023, this paper constructs a univariate time series GARCH model to generate standard deviation, and further establishes a DCC-GARCH model to analyze the dynamic correlation between the stock market return fluctuation of China’s financial industry and the real industry. The empirical results show that there is a dynamic correlation between the rate of return fluctuation of China’s financial industry and other real industries. The dynamic correlation between the financial industry and the medical and health industry, the financial industry and the public utility industry, the financial industry and the industrial industry is ranked in the top three from the highest to the bottom, and the dynamic correlation between the financial industry and the main consumer industry is the weakest. With the development of China’s economy, the link between the real industry and the financial system is increasingly close, so it is of great significance to study the spillover of risk volatility. It is necessary to build a regulatory framework from the three aspects of the financial system, the real industry and financial supervision to prevent extreme risks among the financial entity industries.