经济与管理研究
經濟與管理研究
경제여관리연구
Research on Economics and Management
2015年
8期
46~53
,共null页
长记忆性 非对称性 动态条件相关 一体化
長記憶性 非對稱性 動態條件相關 一體化
장기억성 비대칭성 동태조건상관 일체화
long memory; asymmetry; dynamic conditional correlation; integration
大中华区由于语言和人文地理的天然联系,以及近年来两岸三地在各方面的广泛深入合作,股票市场的典型化特征出现了一定程度的趋同性。本文采用动态相关的HYGARCH模型对大中华区的股票市场进行研究,发现该模型能有效捕获大中华地区股票市场的波动聚类性、非对称性和长记忆性特征。动态时变相关结果表明：随着股票市场的逐渐开放以及两岸三地的通力合作,大中华区的股票市场动态相关系数总体呈现上升趋势,股票市场的一体化程度在逐步提高。
大中華區由于語言和人文地理的天然聯繫,以及近年來兩岸三地在各方麵的廣汎深入閤作,股票市場的典型化特徵齣現瞭一定程度的趨同性。本文採用動態相關的HYGARCH模型對大中華區的股票市場進行研究,髮現該模型能有效捕穫大中華地區股票市場的波動聚類性、非對稱性和長記憶性特徵。動態時變相關結果錶明：隨著股票市場的逐漸開放以及兩岸三地的通力閤作,大中華區的股票市場動態相關繫數總體呈現上升趨勢,股票市場的一體化程度在逐步提高。
대중화구유우어언화인문지리적천연련계,이급근년래량안삼지재각방면적엄범심입합작,고표시장적전형화특정출현료일정정도적추동성。본문채용동태상관적HYGARCH모형대대중화구적고표시장진행연구,발현해모형능유효포획대중화지구고표시장적파동취류성、비대칭성화장기억성특정。동태시변상관결과표명：수착고표시장적축점개방이급량안삼지적통력합작,대중화구적고표시장동태상관계수총체정현상승추세,고표시장적일체화정도재축보제고。
There has been a certain typical feature of stock markets due to language and human geography,as well as the extensive cooperation in the mainland,Taiwan and Hong Kong in recently years. The paper uses dynamic conditional correlation HYGARCH model to investigate the stock markets of the Greater China,and finds that the model can effectively capture the characteristics of volatility clustering,asymmetry and long memory of the stock markets of the Greater China.The results of time-varying dynamic correlation have showed that the integration is gradually improved,since the dynamic correlation coefficient showing an overall upward trend,as well as the cooperation of the three places and the gradual opening policy of the stock markets of the Greater China.
