摘要
采用动态条件相关模型和R-Vine Copula方法刻画"一带一路"沿线20个国家(地区)股市在2001年10月至2017年2月期间的时变联动性及其复杂相依结构特征,并在此基础上揭示"一带一路"倡议对各股市相依结构的影响及各股市间的波动传导机制。研究结果表明,沿线国家(地区)股市间大部分存在非对称的上下尾相依结构;"一带一路"倡议提出前,沿线国家(地区)股票市场间的相依结构存在明显的区域性地理聚集特征,但在倡议提出后此特征消失,各国(地区)股市在整个相依结构中的地位有所改变;中国内地股市和沿线国家(地区)股市之间存在时变联动性,但联动性水平普遍较低,而倡议的提出增强了各股市间的联动性;目前中国内地股市在沿线国家(地区)股市中依然处于边缘地位,尚未起到枢纽中心作用,主要与中国香港地区股市存在相依性;随着倡议的全面深入实施,中国内地资本市场将会在国际股市中发挥核心作用。此外,沿线国家(地区)股市间的波动传导机制存在明显的非对称性;新加坡、中国香港地区、捷克、波兰以及沙特阿拉伯的股市在波动传导机制中扮演了承接与扩散的枢纽作用。
This paper employs dynamic conditional correlation model and R-vine copula model to characterize timing-varying linkage and dependency structure among 20 representative stocks markets which are in the countries or regions along the Belt and Road based on their daily index yield data from October 2001 to February 2017. Then, we try to analyze the impact of The Belt and Road Initiative on the interdependence structure of each stock market and their fluctuation conduction mechanism from the strategy of Belt and Road Initiate. The results show that there is an asymmetry upper and lower tail dependency structure among those stock markets. All stock markets show a clear regional geographical aggregation characteristic before the Belt and Road Initiative was proposed. However, the regional geographical aggregation characteristic has disappeared after the Belt and Road Initiative. At the same time, the position of all stock markets along the Belt and Road has changes. Besides, there is time-varying linkage between China＇s stock market and stock markets along the Belt and Road, but the level of linkage is generally low. The strategy of Belt and Road has enhanced the linkage between all stock markets. The results also show that China stock market, at present, has not played a central role in the dependence structure among all stock markets and is still at the edge of the Belt and Road stock market, and it is only dependent with Hong Kong stock market. There are obvious asymmetries in the volatility transmission mechanism among the national stock markets along the Belt and Road. Singapore, Hong Kong, Czech and Saudi Arabia have played a role as a hub in the fluctuation transmission mechanism.
作者
郭文伟
王礼昱
GUO Wenwei, WANG Liyu(School of Finance, Guangdong University of Finance ＆ Economics, Guangzhou 510320, Chin)
出处
《西安交通大学学报（社会科学版）》
CSSCI
北大核心
2018年第2期39-49,共11页
Journal of Xi'an Jiaotong University：Social Sciences
基金
广东省高等学校优秀青年教师培养计划资助项目(Yqgdufe1402)
广州市哲学社会科学"十三五"规划课题(2017GZYB20)
关键词
“一带一路”
股票市场
时变联动性
相依结构
波动传导机制
The Belt and Road Initiative
stock market
time-varying linkage
dependence structure
fluctuation transmission mechanism
