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| 商品期货对资产配置的风险分散价值研究 | |
| 引用本文： | 张雪莹,于鑫,王上文.商品期货对资产配置的风险分散价值研究[J].当代经济科学,2011,33(2):112-117,128. |
| 作者姓名： | 张雪莹 于鑫 王上文 |
| 作者单位： | 1. 山东财政学院金融学院,山东,济南,250014 2. 上海证券交易所博士后工作站,上海,200126 3. 中国人保资产管理公司组合管理部,上海,200120 |
| 基金项目： | 教育部人文社科规划研究项目 |
| 摘 要： | 基于BEKK-GARCH模型,本文考察了我国部分商品期货品种与股价指数收益率之间条件相关系数的动态变化特征,结果表明:商品期货与股价指数收益率之间存在较低的相关性;一些商品期货品种价格与股价指数的市场相关性呈长期减弱的趋势;而且,两者之间的相关性随股票市场波动率的增大而下降,股市波动幅度越大,商品期货与股价指数之间的相关性越低;这些都意味着商品期货对于资产配置有较好的风险分散价值。 |
| 关 键 词： | 商品期货 资产配置 条件相关系数 BEEK-GARCH模型 |
A Study on the Risk Diversification of Commodity Futures on Assets Allocation |
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| ZHANG Xue-ying,YU Xin,WANG Shang-wen.A Study on the Risk Diversification of Commodity Futures on Assets Allocation[J].Modern Economic Science,2011,33(2):112-117,128. | |
| Authors: | ZHANG Xue-ying YU Xin WANG Shang-wen |
| Institution: | 1.School of Finance,Shandong Finance College,Jinan 250014,China; 2.Post-doctoral Program,Shanghai Stock Exchanges,Shanghai 200126,China; 3.Portfolio Management Division,PICC Asset Management Company Limited,Shanghai 200120,China) |
| Abstract: | With the application of Beek-Garch Model,this paper studies the conditional correlations between commodity futures and stock index.The results show that conditional correlations with equity returns fall with the increase of its volatility,a sign that commodity futures have the benefits of diversification most in periods of high volatility in equity markets.This result suggests that commodity futures can be a good tool for strategic asset allocation. |
| Keywords: | Commodity futures Assets allocation Conditional correlation Beek-Garch Model |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |