CAJ | 학술논문

本文采用动态条件相关双曲记忆GARCH模型对金砖四国的股市波动特征、股市间的联动性与相依性以及股市波动的一体化进行分析。研究表明：金砖四国股市均具有波动聚类性和长记忆性的特征，非对称性特征仅在巴西和俄罗斯股市显著；中国股市与其他国家股市的动态相关性低于其他三国股市间的关联性，但是总体发展趋势基本一致；金砖四国股市间的动态均等相关系数在国际金融危机前总体呈现上升趋势，在后金融危机时期呈现下降的趋势，说明国际金融危机对金砖四国股市的关联性造成了一定程度的冲击，而近年来宏观基本面走势的分道扬镳是导致金砖四国股市间的关联性下降的重要原因。
본문채용동태조건상관쌍곡기억GARCH모형대금전사국적고시파동특정、고시간적련동성여상의성이급고시파동적일체화진행분석。연구표명：금전사국고시균구유파동취류성화장기억성적특정，비대칭성특정부재파서화아라사고시현저；중국고시여기타국가고시적동태상관성저우기타삼국고시간적관련성，단시총체발전추세기본일치；금전사국고시간적동태균등상관계수재국제금융위궤전총체정현상승추세，재후금융위궤시기정현하강적추세，설명국제금융위궤대금전사국고시적관련성조성료일정정도적충격，이근년래굉관기본면주세적분도양표시도치금전사국고시간적관련성하강적중요원인。
In this paper, we investigate the linkage, dependency and integration between stock markets of BRIC, with dynamic conditional correlation hyperbolic memory GARCH model.The results have shown that BRIC countries stock markets have the typical characteristics of volatility clustering and long memory, while the asymmetry is only significant in the stock markets of Brazil and Russia; the dynamic conditions correlation of the volatility of stock markets of BRIC show the correlation between China and other three countries are smaller than the correlation between the left three coun-tries, while the overall trend is consistent;the results of dynamic equicorrelation show an overall upward trend before the financial crisis and a downward trend during the post financial crisis period, indicating that the financial crisis has signifi-cant influence on the stock market of BRIC, and the parted ways of market fundamental is one of the most important rea-sons that cause the decrease of the correlation between stock markets of BRIC.