CAJ | 학술논문

本文运用不同方法估计Copula－MGARCH模型，以期在甄别和判断不同估计方法有效性的基础上，选择最优的估计方法透析和测度香港回归前后中国内地股市与香港股市的联动机制。研究结果表明：与IFM估计方法相比较，利用MBP估计方法计算Copula－MGARCH模型更优；与香港回归前相比较，在香港回归至今的17年里，尽管内地股市与香港股市之间的联动显著增强，但是二者之间的联动机制仍然较弱；内地股市在香港回归前呈现显著的波动迹象，但在香港回归后波动态势趋于平缓；与此相反，香港股市在香港回归前的波动幅度较为微弱，回归后波动特征陡然增强，而且这种波动特征持续了近五年之久。
본문운용불동방법고계Copula－MGARCH모형，이기재견별화판단불동고계방법유효성적기출상，선택최우적고계방법투석화측도향항회귀전후중국내지고시여향항고시적련동궤제。연구결과표명：여IFM고계방법상비교，이용MBP고계방법계산Copula－MGARCH모형경우；여향항회귀전상비교，재향항회귀지금적17년리，진관내지고시여향항고시지간적련동현저증강，단시이자지간적련동궤제잉연교약；내지고시재향항회귀전정현현저적파동적상，단재향항회귀후파동태세추우평완；여차상반，향항고시재향항회귀전적파동폭도교위미약，회귀후파동특정두연증강，이차저충파동특정지속료근오년지구。
This paper uses a different method to estimate the Copula-MGARCH model, based on screening and judging different estimation methods effectiveness, choose the best estimation method to dialysis and measure the linkage mecha-nism between Mainland Stock Market and Hong Kong Stock Market before and after the return of Hong Kong.The results show that:MBP estimation method is more effective and more accurate than the IFM estimation method;compared with the previous Hong Kong, in the 17 years after Hong Kong′s return, although the linkage between the Mainland Stock Market and the Hong Kong Stock Market is significantly increased, but the linkage mechanism between the two is still weak;the Mainland Stock Market before the reunification showed significant signs of volatility, but since the handover, the Mainland Stock Market volatility trend suddenly leveled off; Hong Kong Stock Market volatility before reunification situation is more gentle, but since the date of handover, Hong Kong Stock Market volatility characteristics suddenly in-creased, and this dramatic fluctuation characteristics lasted nearly five years.