摘要
本文运用基于动态条件相关的多元GARCH(DCC—MVGARCH)模型,对美国次信贷危机发生前后国际原油市场和中、美股票市场间的协动性变化进行了研究。实证结果表明在次信贷危机发生后,国际原油市场与中、美股票市场间的协动性有了明显的增强,不同市场间的波动具有明显的传导作用。国际原油市场与美国股市的协动性相对于中国股市波动性更强,说明冲击在国际原油市场与美国股市间的传导更强烈,其协动性对冲击的反应更敏感。另外,运用偏最小二乘方法(PLS)对影响国际原油市场和中、美股票市场的诸多因素在次信贷危机爆发前后对协动性解释能力的变化进行了分析,结果发现次信贷危机对这些因素的解释能力有明显的影响。
The paper studies the changes of comovement between international crude oil market and China and U.S.stock market before and after the U.S.sub-prime crisis based on dynamic conditional correlation multivariate GARCH model（DCC-MVGARCH）.The empirical results demonstrate that the comovement increases after the sub-prime crisis while volatility between different markets has significant conduction.The comovement volatility between international oil market and U.S.stock market is stronger than China stock market,indicating the shock has more violent impact on international oil market and U.S.stock market and their response is more sensitive.In addition,we select some factors affecting international oil market and China and U.S.stock market to make further explanations on comovement and employ partial least squares（PLS） method to analyze the explanation power changes before and after U.S.sub-prime crisis.Results show that the sub-prime crisis significantly affected the explanations power of those factors.
出处
《中国管理科学》
CSSCI
北大核心
2010年第6期42-50,共9页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(70825001)
