【作者】 黄波；

【导师】 林娟；

【作者基本信息】 厦门大学 ， 金融硕士（专业学位）， 2017， 硕士

【摘要】 国内商品期货市场快速发展和日益成熟,商品期货对其他金融资产定价的影响力越来越大,逐渐成为投资者选择资产组合的重要考量。商品期货市场与股票市场的关联程度不仅决定了多元化投资的收益,而且会影响投资者在对冲和风险管理方面策略选择。常见的多元GARCH模型或马尔科夫转换模型在评估股票与商品期货市场相关性时,难以反映两个市场之间不对称的尾部相依性行为。本文实证分析了国内的商品期货与股票之间的市场联动效应,特别是两个市场的尾部行为,探讨了国内商品期货对股票投资组合的价值。本文采用二元Copula的方法,构建了国内沪深300指数和五类主要的商品期货指数之间的相依性结构。本文通过对比不同策略配置下的期股组合与纯股票组合的风险度量,检验了期股市场的相依性关系,尤其是尾部相依性对下行风险管理的启示。本文发现,由于下尾部相依性的存在,股票投资者通过做空商品期货来避免遭受极端的损失。而相依程度的高低,也会导致不同配置策略的期股组合抵御风险的能力具有明显差异。本文的实证结果证实了国内期股市场既存在较低的正相关关系,又有尾部非对称的相依性。这表明国内两个市场已经具有一定的整合度和协同性。同时本文也验证了 Copula模型可以灵活地刻画投资组合中各类资产间的相依性结构,进而有效测量投资组合的风险程度。实证结果对投资者进行多元化投资决策和管理风险均具有一定的借鉴价值和参考意义。更多还原

【Abstract】 Commodity futures has become an important choice for investors who consider to make portfolios,as Chinese commodity futures market develops fast and are of great maturity.The degree of correlation between commodity futures and equity market not only determines the benefit of investment diversification,but also affects the investors1 hedging and risk management strategies.The common multivariate GARCH model or Markov Switching Model is difficult to describe the asymmetric tail dependent behavior when studying the dependence among two or more different markets.This paper analyzes the dependence between Chinese commodity futures and equitys,especially the tail behavior of the two markets.Author uses the method of bivariate Copula to construct the dependence structure among the domestic CSI300 Index and five main commodity futures index.By comparing the risk metrics between different allocation strategies of future-equity portfolios and pure equity portfolio,author tests the dependence relationship and the tail dependence which are useful when dealing with the downside risk management.It is shown that equity investors could avoid the extreme losses by shorting the commodity futures by taking advantage of the lower tail dependence.The different dependence degree of futures-equity would lead to different risk-aversion benefits.The empirical results confirmed the asymmetric tail dependence of commodity futures market and equity market,while the correlation is low.It indicates that the two markets have had a certain degree of integration.It is also verified that the Copula models fits the dependence structure,and are effective in measuring the portfolio risk.更多还原