期刊文献+

中国——东盟金融市场的结构相依与极值风险:基于“一带一路”的背景 预览 被引量:1

Structural dependence and extreme risk of financial markets in China-ASEAN:Based on “the belt and road” strategy
在线阅读 下载PDF
收藏 分享 导出
摘要 为了研究“一带一路”战略实施前后中国与东盟主要国家股市之间的结构相依特征与极值风险,文章首先基于 GJR-GARCH 模型过滤收益率序列,然后采用极值理论对边缘分布建模,最后运用 regular vine copula 理论构建联合分布。同时,文章对比分析“一带一路”战略实施前后股市之间相依程度与极值风险程度的变化。研究发现:(1) GJR-GARCH 模型和极值理论可以拟合中国与东盟主要国家股市收益率序列的边缘分布特征,且采用同一种类型的规则藤 Copula 模型可以刻画股市之间的相依性结构。(2)二元 t-copula 函数可以刻画中国与东盟主要国家股市之间对称的无条件尾部相依特征,而非对称的条件尾部相依特征可以运用其它 Copula 函数来度量。(3)“一带一路”战略实施期间,股市之间的相依程度有所下降,市场极值风险有所增加,但仍具有一定的风险规避功能。 Since the establishment of the China-ASEAN Free Trade Area, the relationship of trade and cross-border finance in China and the ASEAN nations has been increasing. In particular, the implementation of “The Belt and Road” strategy further emphasizes the enhancement of economic and financial links among China-ASEAN FTA nations. However, due to the differences of the economic characteristics in these nations and the regulations of capital markets, there are complex non-linear relationships between stock markets of China and the ASEAN nations. These relationships are very useful and significant for measuring the volatility spillover effects and extreme risks among these stock markets. With the deepening of economic and financial integration, financial markets are characterized by more complex dependence and volatility spillover effects, and the transmission of financial risks is gradually strengthened, especially during the financial crisis. The regular vine copula model can capture more complex structural dependence among capital markets. Also, when the extreme events occur, the distributions of return on financial assets are not satisfied with the normal distribution, but the asymmetric features of leptokurtosis and fat-tail. The tail risks among capital markets can be measured based on the extreme value theory. Therefore, this paper constructs the EVT-regular vine copula model by combining the extreme value theory with regular vine copula model and calculates the Value-at-Risk of the portfolio by Monte Carlo simulation method. The proposed model is used to study the dependency structure and spillover effects of extreme risks of the stock markets in the China-ASEAN Free Trade Area during the implementation of “The Belt and Road” strategy. This study provides investors with some reference for investment strategy and risk management in the stock markets of the China-ASEAN Free Trade Area. The paper mainly includes five parts. The first part introduces the background of this paper. The second part is a literatu
作者 胡根华 HU Gen-hua(School of Business, Anhui University of Technology, Maanshan 243032, China;Research Center of Anhui Innovation-Driven and Industrial-Transformation and Upgrading Development, Maanshan 243032, China)
出处 《管理工程学报》 CSSCI CSCD 北大核心 2019年第2期18-27,共10页 Journal of Industrial Engineering and Engineering Management
基金 2016年国家自然科学青年基金资助项目(71601125) 2016年教育部人文社会科学研究青年基金资助项目(16YJC790030) 安徽省自然科学基金资助项目(1608085MG151) 安徽工业大学人才项目(DT16100008).
关键词 “一带一路” 结构相依 极值风险 极值理论 规则藤 COPULA The belt and road Structural dependence Extreme risk Extreme value rheory Regular vine copula
作者简介 胡根华(1984—),男,安徽宿松人;安徽工业大学商学院讲师,博士;研究方向:金融工程及风险管理。
  • 相关文献

参考文献11

二级参考文献287

共引文献355

同被引文献9

投稿分析

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部 意见反馈