本研究运用DCC-GARCH模型,针对中国八大证券公司在2015年7月1日至2023年7月1日期间的股票收益率数据进行了深入分析,旨在揭示这些证券公司间系统性风险的动态关联性。实证分析结果显示,中国这八大证券公司的股票收益率呈现出波动聚集性...本研究运用DCC-GARCH模型,针对中国八大证券公司在2015年7月1日至2023年7月1日期间的股票收益率数据进行了深入分析,旨在揭示这些证券公司间系统性风险的动态关联性。实证分析结果显示,中国这八大证券公司的股票收益率呈现出波动聚集性,并且风险动态相关性为正。鉴于此,证券公司应持续强化其对系统性风险的管理能力,不断完善内部风险防控体系,增强其风险抵御力,以期有效降低风险对公司造成的损失。This paper establishes DCC-GARCH model to study the stock returns of eight major securities companies from July 1, 2015 to July 1, 2023, and finds the dynamic correlation of systemic risk among eight major securities companies in China. Through empirical analysis, it can be found that the stock returns of China’s eight securities companies have the characteristics of volatility clustering, and there is a positive risk dynamic correlation. Securities companies should continuously strengthen their ability to manage systemic risks, adhere to improving their internal risk prevention and control mechanism, and improve their ability to resist risks, so as to reduce the losses brought by risks to securities companies.展开更多
文摘本研究运用DCC-GARCH模型,针对中国八大证券公司在2015年7月1日至2023年7月1日期间的股票收益率数据进行了深入分析,旨在揭示这些证券公司间系统性风险的动态关联性。实证分析结果显示,中国这八大证券公司的股票收益率呈现出波动聚集性,并且风险动态相关性为正。鉴于此,证券公司应持续强化其对系统性风险的管理能力,不断完善内部风险防控体系,增强其风险抵御力,以期有效降低风险对公司造成的损失。This paper establishes DCC-GARCH model to study the stock returns of eight major securities companies from July 1, 2015 to July 1, 2023, and finds the dynamic correlation of systemic risk among eight major securities companies in China. Through empirical analysis, it can be found that the stock returns of China’s eight securities companies have the characteristics of volatility clustering, and there is a positive risk dynamic correlation. Securities companies should continuously strengthen their ability to manage systemic risks, adhere to improving their internal risk prevention and control mechanism, and improve their ability to resist risks, so as to reduce the losses brought by risks to securities companies.
