国有商业银行股票收益率波动的动态相关性实证分析

An Empirical Analysis on the Dynamic Correlation of the Volatility of Stock Returns in State Owned Commercial Banks

摘要: 随着资本市场的发展，我国商业银行逐渐上市，成为了股票市场的重要一环，其中，国有商业银行是典型代表之一。据其历史数据显示，国有商业银行的股价历来均保持相对稳定的走势、风险较低，并且不难发现，国有商业银行股的股价走势之间存在一定的正向相关性和溢出现象。本文通过DCC-GARCH模型对2016年第四季度至2022年年末我国三家国有商业银行股票的收益率波动之间的动态相关性进行分析，以期帮助投资者进一步理解银行股之间存在的动态联动现象，从而更有效地做出投资决策。本文研究发现国有银行股票之间存在显著的动态相关性且具有个体差异，并基于此，提出了相关的建议。商业银行应建立健全风险预警和防控机制，充分关注行业内存在的风险传染现象；监管机构也应基于银行之间的个体差异性建立动态调整的监管机制。

Abstract: With the development of the capital market, China’s commercial banks have gradually gone public and become an important part of the stock market, among which state-owned commercial banks are one of the typical representatives. According to its historical data, the stock prices of state-owned commercial banks have always maintained a relatively stable trend with low risks, and it is not difficult to find that there is a certain positive correlation and spillover phenomenon between the stock prices of state-owned commercial banks. This article analyzes the dynamic correlation between the volatility of returns on stocks of three state-owned commercial banks in China from the fourth quarter of 2016 to the end of 2022 using the DCC-GARCH model, in order to help investors further understand the dynamic linkage phenomenon between bank stocks and make investment decisions more effectively. This study found a significant dynamic correla-tion and individual differences between state-owned bank stocks, and based on this, relevant suggestions were proposed. Commercial banks should establish and improve risk warning and prevention mechanisms, and fully pay attention to the risk contagion phenomena that exist in the industry; Regulatory agencies should also establish dynamic regulatory mechanisms based on individual differences between banks.