我国艺术品市场和股票市场的系统相关性分析

摘要/Abstract

摘要： 随着文化与金融的融合，艺术品市场成为继股市和房地产市场之后的又一投资重地，资本市场的风险波动也对艺术品市场产生影响。这两个系统在相关程度、协同运动、波动传导等方面的复杂性不断加强，扩大了风险在两个系统之间的传导效应。因此本文将从两个系统的内部结构及相互作用来考察二者的关系，以揭示两个市场演化的规律及风险的形成机理。本文先分析了我国艺术品市场和股票市场的发展趋势和现状，认为它们都与宏观经济联系紧密，而且两个市场间存在着竞争效应和财富溢出效应，效应的作用情况影响着两个市场的相关程度，故存在着显著的相关性。然后，本文将Copula、GARCH和t分布相结合，构建了四种静态和动态模型，对我国艺术品市场与股票市场之间的相关性进行研究。实证结果表明，2000-2018年间，上证综指与艺术品市场交易指数的对数收益率在一般情况下相关程度较低，但在市场出现较大波动时相关程度增高，具有一定的尾部相关性。时变Copula比静态Copula对两个经济系统相关性的刻画更准确；艺术品指数和股市指数大部分情况下呈现较弱的正相关。最后本文对艺术品投资提出了一些建议。

关键词: 经济系统, 艺术品金融, 股票市场, 相关性, Copula模型

Abstract: With the integration of the culture and finance, the art market has become another important investment area in addition to the stock and real estate markets, and the risk fluctuations in the capital market have an impact on the art market. The complexity of the two systems in terms of relevance, synergy and volatility is increasing, which expands the transmission effect of risks between different systems. We can investigate the correlation between the systems, from the internal structures and the impact, thus revealing the evolution of the two markets and the forming-mechanism of risk. This paper analyzes the development trend and presents situation of Chinese art and stock markets. In conclusion, the two markets are closely related to the macro economy; there are competitive effects and wealth spillover effects between the two markets; the interactions of the two effects affect the degree of correlation between the two markets. Based on this, it can be concluded that there is an obvious dependence between China's stock and art markets. Subsequently, we combine Copula and GARCH-t to construct four models in static or dynamic form thereby studying the correlation between Chinese art and stock markets. The empirical results show that during 2000-2018 the correlations between Shanghai Composite Index and Art Market Trading Index are generally low, but increase when the market fluctuates greatly, indicating that there is some tail dependence. Time-varying Copula models are more accurate in describing the correlation between the two economic systems than static copula. Indices of the two market mainly have a weak positive correlation. In the end, we put forward some suggestions on the art investment.

Key words: economic system, art finance, stock market, dependence, Copula

李平, 徐佳宁. 我国艺术品市场和股票市场的系统相关性分析[J]. 管理评论, 2020, 32(7): 123-137.

Li Ping, Xu Jianing. Systemic Dependence Analysis between Chinese Art and Stock Markets[J]. Management Review, 2020, 32(7): 123-137.

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