使用对称和非对称动态条件相关性模型分析 JSE.JO 股票市场与其合作伙伴之间的时变相关性

Pub Date : 2024-07-22 DOI:10.3390/stats7030046
Anas Eisa Abdelkreem Mohammed, H. Mwambi, B. Omolo
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引用次数: 0

摘要

发达股票市场和新兴股票市场收益之间的相关性或共同变动程度对于有效分散全球投资组合仍然至关重要。由于国际贸易和金融市场促进了经济的相互依存,这种相关性很容易随时间而变化。本研究分析了南非 JSE.JO 股票市场与其发达国家和发展中国家股票市场伙伴之间的时变相关性和共同运动。采用不同多元分布的动态条件相关-指数广义自回归条件异方差(DCC-EGARCH)方法,探讨了 JSE.JO 股票市场与其合作伙伴之间的时变相关性和波动性。根据条件相关性结果,JSE.JO 股票市场与其伙伴市场是一体化的,共同波动,所有市场的条件相关性都表现出随时间变化的行为。条件波动率结果显示,JSE.JO 股票市场的表现与其他市场不同,尤其是在 2015 年之后,这表明投资者在 JSE.JO 及其伙伴市场之间进行分散投资具有积极意义。市场条件波动率的最高值出现在 2020 年 COVID-19 大流行期间,这代表了风险最大的时期,由于危机期间缺乏分散投资的机会,投资者应避免投资。
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Time-Varying Correlations between JSE.JO Stock Market and Its Partners Using Symmetric and Asymmetric Dynamic Conditional Correlation Models
The extent of correlation or co-movement among the returns of developed and emerging stock markets remains pivotal for efficiently diversifying global portfolios. This correlation is prone to variation over time as a consequence of escalating economic interdependence fostered by international trade and financial markets. In this study, the time-varying correlation and co-movement between the JSE.JO stock market of South Africa and its developed and developing stock market partners are analyzed. The dynamic conditional correlation–exponential generalized autoregressive conditional heteroscedasticity (DCC-EGARCH) methodology is employed with different multivariate distributions to explore the time-varying correlation and volatilities between the JSE.JO stock market and its partners. Based on the conditional correlation results, the JSE.JO stock market is integrated and co-moves with its partners, and the conditional correlation for all markets exhibits time-variant behavior. The conditional volatility results show that the JSE.JO stock market behaves differently from other markets, especially after 2015, indicating a positive sign for investors to diversify between the JSE.JO and its partners. The highest value of conditional volatility for markets was in 2020 during the COVID-19 pandemic, representing the riskiest period that investors should avoid due to the lack of diversification opportunities during crises.
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