A Study On The Dynamic Correlationamong Spot,Futures And Stock Markets Using Trivariate DCC-GJR-GARCH Model

In recent years,China's economy has made a qualitative leap,but China's GDP structure is unreasonable,and the proportion of consumption is far less than investment and exports,which leads to the growth of fixed asset investment as the main driver of China's GDP growth.As the world's largest steel producer and consumption country,the rapid growth of fixed asset investment is inseparable from the rapid development of the steel industry.In order to obtain funds to ensure the development of the industry,in addition to relying on the government's policy to promote the development of the steel industry,the stock market has become an important channel for steel companies to obtain financing.More and more steel industry companies are participating in the listing.Naturally,the steel companies themselves and many stock investors focus on the stock prices of listed steel companies.Steel is the most important finished product of steel companies,and its price is also Investors are seen as a key element in their investigation of stock price volatility.On the other hand,the growing steel market in China has also pushed steel futures into the eyes of investors.Steel companies and investors can use the futures market more conveniently and quickly to circumvent the impact of steel price fluctuations.With the development of the three markets,the connection between the three markets is particularly important for investors.Combining the existing domestic and foreign literatures,the steel price is regarded as an important variable to investigate the stock price fluctuation of listed steel companies and there are many literatures to analyze the relationship between them.However,the steel spot,steel futures and steel industry stock market are combined to study three.There are fewer studies on market relevance.It is important to note that the high volatility of steel spot,futures and steel stock markets and the financial market attributes exhibited by the steel market have prompted investors to not only care about the impact of yields across the three markets,but also the volatility between the three markets.Contact is also more worthy of attention.In addition,the dynamic correlation of the three market-to-market returns and the corresponding optimal portfolio strategy have also received considerable attention,but at this stage there are relatively few studies on the latter three aspects.Based on the previous studies,this paper tries to objectively and comprehensively describe the dynamic correlation between the three market yields,calculate the portfolio weights based on the actual situation and empirical conclusions,and build a variety of investment portfolios based on this.Assessing the performance of different portfolios provides a theoretical basis for investors to invest between the three markets of the steel industry.First,the VAR model is used to construct the yield equation between the three markets to describe its yield spillover effect,and the exogenous variable SSE index is added to the model to exclude the bull market against the three market prices in China's stock market during the sample period.The interference caused.Combining Granger causality test results to construct three market impulse response functions,describing the impact of the impact of the various markets between the three markets on the other two markets.Secondly,the ternary DCC-GJR-GARCH model is used to describe the volatility spillover effect between the three markets,and the dynamic correlation graph is drawn for the dynamic correlation coefficient between the two markets,and combined with the current macro and industrial policies to make a reasonable explanation..Finally,based on the empirical results of the previous two steps,combined with the dynamic correlation coefficient between the market and the conditional volatility of the assets,the dynamic optimal portfolio weights are calculated,and the optimal weight portfolio and dynamic hedging portfolio are established.In addition,this paper also constructs two static investment portfolios: equal weight portfolio,OLS hedging portfolio.From the riskadjusted rate of return,it is tested whether the above four investment portfolios have significantly improved the stock portfolio of China's steel industry.The empirical results of this paper find some of empirical results.Firstly,the China's steel spot,futures and steel stock markets have significant yield and volatility spillover effects,and the rate of return between the three markets is affected by the yields of the other two markets.Secondly,the volatility of the steel stock market showed an asymmetrical characteristic,while the volatility of the spot and futures markets showed symmetry.The dynamic correlation coefficient between the two markets in the three markets showed an upward trend,while the correlation between the steel industry futures and spot market is high.Thirdly,the optimal investment weight combination based on the dynamic correlation between the three markets is better than other combinations to optimize the effect of stock investment in the steel industry.In summary,the empirical conclusions of this paper can not only help investors to understand the price fluctuation risk of different markets in China's steel industry,but also provide theoretical basis for steel stocks and futures investment,and also provide policy advice for Chinese policy makers.