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金砖国家的经济发展越来越受到国际社会的广泛关注,尤其是其资本市场在次贷危机期间的收益表现更受到了国际投资者的青睐。本文选取2008年3月至2014年3月金砖国家股指日数据,建立分位数回归模型研究这几个证券市场的联动性以指导投资实践。研究发现金砖国家证券市场之间不同分位点的联动性不同,这有助于很好地分散投资风险。
The economic development of the BRICS countries has drawn more and more attention from the international community. Especially, the performance of their capital markets during the subprime mortgage crisis has received more and more favor from international investors. This article selects the data from March 2008 to March 2014 in BRICS stock index data and establishes a quantile regression model to study the linkage of these securities markets to guide investment practice. The study found that the linkage between the different subdivisions of the BRICS securities market is different, which helps to decentralize the investment risk.