俄罗斯和发达国家股票市场条件相关性波动和变化的影响

Q3 Economics, Econometrics and Finance

Economic Annals Pub Date : 2020-01-01 DOI:10.2298/eka2027067s

N. O. Salmanov, V. N. Babina, V. M. Samoshkina, P. I. Drachena, P. I. Salmanova

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引用次数: 1

摘要

本文的目的是识别盈利能力波动的模式，并建立发达国家和俄罗斯股票市场之间的动态条件相关程度。这个问题对投资战略和国际投资多样化很重要。我们使用BEKK-GARCH、CCC-GARCH和DCCGARCH模型，发现俄罗斯股市与美国、英国、德国和法国市场的相关性近年来明显下降。我们发现，俄罗斯市场与欧洲成熟市场之间的相关性是双向的，而美国市场与俄罗斯市场之间的相关性是单向的。对波动性从所有成熟市场转移到俄罗斯市场的评估确定了其统计显著性，并表明俄罗斯市场对英国和德国市场的反馈不显著。建议在俄罗斯市场进行国际投资组合的多样化。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The effects of volatility and changes in conditional correlations in the stock markets of Russia and developed countries

The aim of this article is to identify patterns of profitability volatility and to establish the degree of dynamic conditional correlation between the stock markets of developed countries and those of Russia. This issue is important for investment strategies and the international diversification of investments. We use the BEKK-GARCH, CCC-GARCH, and DCCGARCH models and show that the correlation between the Russian stock market and the markets of the USA, UK, Germany, and France has decreased significantly in recent years. We find that while the correlation between the Russian market and the mature European markets is bidirectional, the relationship between the US market and the Russian market is unidirectional. An assessment of the transfer of volatility from all of the mature markets to the Russian market establishes its statistical significance and shows that feedback from the Russian market to the UK and German markets is insignificant. Diversification of international portfolios in the Russian market is recommended.

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来源期刊

Economic Annals Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

0.90

自引率

0.00%

发文量

审稿时长

18 weeks

期刊介绍： Economic Annals is an academic journal that has been published on a quarterly basis since 1955, initially under its Serbian name of Ekonomski anali (EconLit). Since 2006 it has been published exclusively in English. It is published by the Faculty of Economics, University of Belgrade, Serbia. The journal publishes research in all areas of economics. The Editorial Board welcomes contributions that explore economic issues in a comparative perspective with a focus on transition and emerging economies in Europe and around the world. The journal encourages the submission of original unpublished works, not under consideration by other journals or publications. All submitted papers undergo a double blind refereeing process. Authors are expected to follow standard publication procedures [Instructions to Authors], to recognise the values of the international academic community and to respect the journal’s Policy.