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股票与债券、黄金间的动态关系研究对于投资组合的构建、金融市场监管和风险控制具有重要价值。本文在引入了相关性的资产组合功能定义后,利用DCC-MVGARCH模型,检验了2003-2010年期间我国股票与债券、黄金间的动态相关性。结果显示,股票和债券间的相关性具有动态时变特征,我国债券不但是股票的长期对冲保值资产也是2008年股市危机后期的避险资产;股票与黄金间的动态相关性较弱,更接近于显著的常正相关,这揭示出我国黄金仅为股票的长期多元化资产。总体而言,股票与债券、黄金间的相关系数相对较低,反映出市场分割特征依然明显。
The research on the dynamic relationship between stock, bond and gold has important value for the construction of portfolio, financial market supervision and risk control. After introducing the definition of the portfolio function of relevance, this paper uses DCC-MVGARCH model to test the dynamic correlation between China’s stock and bond and gold during 2003-2010. The results show that the correlation between stocks and bonds has a dynamic time-varying characteristic. Our bonds not only are the long-term hedge assets, but also are safe-haven assets in the late stage of the stock market crisis in 2008. The dynamic correlation between stocks and gold is weak and closer In a remarkable regular correlation, this reveals the long-term diversification of assets of our country’s gold stocks. Overall, the correlation coefficient between stocks and bonds and gold is relatively low, reflecting the obvious characteristics of market segmentation.