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随着日益加快的国际化步伐,国际资本市场上的资本流动越来越频繁。按照Markowitz的投资分散理论,通过国际资本市场的资本运作,投资者可以较大程度的分散风险,从而得到较高的收益。为了研究这种国际资本市场风险分散的收益,我们使用世界主要经济体的股票指数的收益率数据,构造GARCH模型对相关性进行一阶滞后项系数显著性检验。结果显示,国家之间的相关性关系表现出显著的正相关性,分散化收益降低,在金融风暴影响的近几年,这种相关性关系更为明显。
With the increasing pace of internationalization, capital flows in international capital markets are becoming more and more frequent. According to Markowitz’s theory of investment diversification, through the capital operation in international capital markets, investors can largely diversify risks and obtain higher returns. In order to study the risk-diversified returns of such international capital markets, we use the yield data of the stock indices of the world’s major economies to construct a GARCH model to test the significance of the first-order lagged coefficient of the correlation. The results show that the correlation between countries shows a significant positive correlation, decentralized income to reduce the impact of the financial crisis in recent years, this correlation is more obvious.