后金融危机下中国大类资产联动性探究:现象和原因The Post-crisis Assets Comovement in China:Facts and Causes
张淳奕
摘要(Abstract)：
金融危机以来,以股票、债券、大宗商品为代表的大类资产收益率之间的联动性显著增强,对于投资者的资产配置决策而言意义重大。本文基于此问题展开研究,描述了金融危机以来中国市场股票、债券、大宗商品的联动形态,验证并丰富了风险偏好假说和经济周期假说,并实证检验了两种理论对解释中国大类资产收益率联动性的效果。
关键词(KeyWords)： 大类资产;联动性;金融危机;风险偏好;通货膨胀
基金项目(Foundation):
作者(Author): 张淳奕
DOI: 10.16513/j.cnki.cje.2017.04.004
参考文献(References)：
- 陈昕.2012.我国商品期货与股票市场联动效应的实证检验[J].统计与决策,(7):155-158.
- 胡海峰,武鹏.2015.股票市场与债券市场的协调发展研究---基于联动效应的分析[J].价格理论与实践,(10):99-101.
- 余秋玲,朱宏泉.2014.宏观经济信息与股价联动---基于中国市场的实证分析[J].管理科学学报,17(3):15-26.
- 曾志坚,罗长青.2008.股票与债券市场流动性联动的实证研究[J].财经理论与实践,29(4):45-49.
- 赵然.2011.期货市场与股票市场联动性分析---以铜、黄金、棉花和燃料油为例[J].财经界,(8):30-31.
- 钟腾,汤珂.2016.中国商品期货投资属性研究[J].金融研究,(4):128-143.
- Amihud Y.2002.Illiquidity and stock returns:Cross-section and time-series effects[J].Journal of Financial Markets,5(1):31-56.
- Baele L,Bekaert G,Inghelbrecht K.2010.The determinants of stock and bond return comovements[J].Review of Financial Studies,23(6):2374-2428.
- Baele L,Bekaert G,Inghelbrecht K,et al.2013.Flights to safety[R].NBERWorking Paper.
- Baker M,Wurgler J.2012.Comovement and predictability relationships between bonds and the cross-section of stocks[J].Review of Asset Pricing Studies,2(1):57-87.
- Bhardwaj G,Dunsby A.2013.The business cycle and the correlation between stocks and commodities[J].Journal of Investment Consulting,14(2):14-25.
- Caballero R J,Krishnamurthy A.2008.Collective risk management in a flight to quality episode[J].The Journal of Finance,63(5):2195-2230.
- Campbell J Y,Sunderam A,Viceira L M.2009.Inflation bets or deflation hedges?The changing risks of nominal bonds[R].Harvard Business School Finance Working Paper No.09-088.
- Campbell J Y,Pflueger C E,Viceira L M.2014.Monetary policy drivers of bond and equity risks[R].Harvard Business School Finance Working Paper No.14-031.
- Connolly R,Stivers C,Sun L C.2005.Stock market uncertainty and the stock-bond return relation[J].Journal of Financial and Quantitative Analysis,40(1):161-194.
- David A,Veronesi P.2013.What ties return volatilities to price valuations and fundamentals?[J].Journal of Political Economy,121(4):682-746.
- David A,Veronesi P.2016.The economics of the comovement of stocks and bonds[M]//Handbook of fixed-income securities.New Jersey:John Wiley&Sons.
- Guiso L,Sapienza P,Zingales L.2013.Time varying risk aversion[R].NBERWorking Paper No.19284.
- Guiso L.2014.Risk aversion and financial crisis[R].EIEF Working Paper.
- Gupta S.2012.Risk aversion and recession:A post 2008view[R].Working Paper.
- Hamilton J D.1994.Time series analysis[M].Princeton:Princeton University Press.
- Kozak S.2015.Dynamics of bond and stock returns[R].Working Paper.
- Peng L.2005.Learning with information capacity constraints[J].Journal of Financial and Quantitative Analysis,40(2):307-329.
- Peng L,Xiong W.2006.Investor attention,overconfidence and category learning[J].Journal of Financial Economics,80(3):563-602.
- Vayanos D.2004.Flight to quality,flight to liquidity,and the pricing of risk[R].NBER Working Paper No.w10327.