基于TV-Copula-X模型的金砖国家股指收益率与波动率的动态相依关系

doi:10.3969/j.issn.0253-2778.2020.05.009

中国科学技术大学学报 ›› 2020, Vol. 50 ›› Issue (5): 612-628.DOI: 10.3969/j.issn.0253-2778.2020.05.009

基于TV-Copula-X模型的金砖国家股指收益率与波动率的动态相依关系

叶五一，丁雅霖，焦守坤

1.中国科学技术大学管理学院，安徽合肥 230026;2.中国科学技术大学国际金融研究院，安徽合肥 230601

收稿日期:2019-04-22 修回日期:2019-05-22 接受日期:2019-05-22 出版日期:2020-05-31 发布日期:2019-05-22
通讯作者: 叶五一
作者简介:叶五一（通讯作者），男，1979年生，博士/副教授.研究方向：金融风险. E-mail:wyye@ustc.edu.cn
基金资助:
国家自然科学基金面上项目(71973133,71671171)，国家自然科学基金重点项目(71631006)资助.

Dynamic dependence of return and volatility between BRICS stock markets based on TV-Copula-X model

YE Wuyi, DING Yalin, JIAO Shoukun

1.School of Management, University of Science and Technology of China, Hefei 230026, China; 2.International Institute of Finance, University of Science and Technology of China, Hefei 230601,China

Received:2019-04-22 Revised:2019-05-22 Accepted:2019-05-22 Online:2020-05-31 Published:2019-05-22

摘要/Abstract

摘要： 在动态Copula函数中加入外生变量，构建了TV-Copula-X模型，在定义“波动率惊喜”的基础上，从均值溢出和波动溢出两个角度研究了金砖国家股市间相依结构是否会受到美国股市的影响.选取金砖四国和美国股市的数据进行实证研究，实证结果显示，金砖国家之间在收益率和波动率上均有显著的相依关系.金砖国家波动率之间全部呈现非对称的相依结构，然而仅部分国家收益率之间存在非对称的相依结构.美国股市对部分金砖国家间相依关系产生一定的影响，并且当金融危机发生或者当金砖国家间发生正向积极事件时，金砖国家股市间的相关性都会增强.

关键词: 金砖国家, “波动率惊喜”, TV-Copula-X模型, 均值溢出, 波动溢出

Abstract: The TV-Copula-X model was constructed with the addition of an exogenous variable the dynamic Copula function. Based on the definition of ‘volatility surprise’, the dependence structures of the BRICS were studied from the perspectives of mean spillover and volatility spillover, and whether the structures would be affected by the US stock market. The data of the BRICS and the US stock markets was selected for empirical research. The results show that the BRICS have significant dependence from the aspects of return and volatility. There are asymmetric dependent structures between the volatility of the BRICS but only some countries of BRICS have asymmetric dependent structures between their yields. The US stock market has a certain impact on the interdependence of some BRICS countries, and the correlation between the BRICS stock markets will increase when a financial crisis or positive events occurs.

Key words: BRICS, ‘volatility surprise’, the TV-Copula-X model, mean spillover, volatility spillover

中图分类号:

F830.9

叶五一，丁雅霖，焦守坤. 基于TV-Copula-X模型的金砖国家股指收益率与波动率的动态相依关系[J]. 中国科学技术大学学报, 2020, 50(5): 612-628.

YE Wuyi, DING Yalin, JIAO Shoukun. Dynamic dependence of return and volatility between BRICS stock markets based on TV-Copula-X model[J]. Journal of University of Science and Technology of China, 2020, 50(5): 612-628.

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基于TV-Copula-X模型的金砖国家股指收益率与波动率的动态相依关系

Dynamic dependence of return and volatility between BRICS stock markets based on TV-Copula-X model

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