摘要
本文以“区域全面经济伙伴关系——RCEP”协定为背景,选取自2002年1月7日至2020年12月31日的日经225、韩国股票指数(KOSPI)和上证指数(SSEC)的股指收益率数据,借助DCC-GARCH模型从股票收益率和波动率两个角度分别研究三国股市在RCEP开通前后股市联动性的变化。结果表明,中日韩三国有着长期稳定的关系,随着RCEP的施行,三国股市联动性均有所增强,其中,中国股市与日韩股市之间的相关性呈现出稳定提高的趋势,而日韩股市的相关性波动较大。据此,投资者要注意防范股市震荡所带来的风险传染,做好资产配置。金融监管部门也应尽快完善股票价格机制,防范外部金融风险。
Based on the Regional Comprehensive Economic Partnership(RCEP)agreement,this paper selects the return data of Nikkei225,Korea Stock Index(KOSPI)and Shanghai Stock Index(SSEC)from January 7,2002 to December 31,2020.With the help of DCC-GARCH model,the changes of stock coactivity in the three stock markets before and after the opening of RCEP were studied from the perspectives of stock return rate and volatility.The results show that China,Japan and the ROK have a long-term stable relationship.With the implementation of RCEP,the coactivity of the three stock markets has been enhanced.Among them,the correlation between the Chinese stock market and the Japanese and ROK stock markets shows a trend of stable improvement,while the correlation between the Japanese and ROK stock markets fluctuates greatly.Accordingly,investors should pay attention to guard against the risk of stock market shocks and do a good job of asset allocation.Financial regulatory departments should also improve the stock price mechanism as soon as possible to prevent external financial risks.
作者
谷春雨
蔡光兴
GU Chun-yu;CAI Guang-xing(School of Science,Hubei University of Technology,Wuhan,Hubei 400068,China)
出处
《江苏商论》
2022年第12期67-69,73,共4页
Jiangsu Commercial Forum
基金
国家自然科学青年基金项目(11701161)。
