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中文摘要：
金融危机前后对冲基金规模指数、国际商品期货价格指数、标普500指数和油价收益率的波动均呈现异常,对此本文的研究发现：在正常时期对冲基金规模与主要资产收益率的波动均具有平稳性质,对冲基金对于主要资产收益率的变化都有及时的反应;在金融危机前后,上述资产收益率均出现急剧波动,波动性传递呈现突出的非平稳特性;特别是对冲基金对油价收益率具有显著的波动溢出效应,并且对于油价波动的非平稳性具有主要解释能力.由此,代表性资产收益率波动的非平稳特性可以作为危机爆发的警示性指标.
英文摘要：
The volatility of the return of hedge funds,CRB index,SP500 index and oil price exhibits abnormal situation both pre and ext financial crisis.The paper reveals that,in normal periods,all of the asset returns mentioned above possess stability features.SP500 has Granger causality effect in advance and the size returns of hedge funds have stable explanatory power to the major assets in consideration.While during the crisis period,all returns of these assets become volatile heavily and the volatility transfer from hedge funds to asset prices presents serious nonstationarity.Therefore we can take the unstable feature of the conditional variance equation in GARCH models between hedge funds and representative assets as the criteria for foreseeing the financial crisis.
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