我国商品期货与股票市场的相依性研究
Research on Dependence of Chinese Commodity Futures and Equity Markets
Abstract
国内商品期货市场快速发展和日益成熟，商品期货对其他金融资产定价的影响力越来越大，逐渐成为投资者选择资产组合的重要考量。商品期货市场与股票市场的关联程度不仅决定了多元化投资的收益，而且会影响投资者在对冲和风险管理方面策略选择。常见的多元GARCH模型或马尔科夫转换模型在评估股票与商品期货市场相关性时，难以反映两个市场之间不对称的尾部相依性行为。 本文实证分析了国内的商品期货与股票之间的市场联动效应，特别是两个市场的尾部行为，探讨了国内商品期货对股票投资组合的价值。本文采用二元Copula的方法，构建了国内沪深300指数和五类主要的商品期货指数之间的相依性结构。本文通过对比不同策略配置下的期股组... Commodity futures has become an important choice for investors who consider to make portfolios, as Chinese commodity futures market develops fast and are of great maturity. The degree of correlation between commodity futures and equity market not only determines the benefit of investment diversification, but also affects the investors' hedging and risk management strategies. The common multivariat...