中文摘要：

股票与债券、黄金间的动态关系研究对于投资组合的构建、金融市场监管和风险控制具有重要价值。本文在引入了相关性的资产组合功能定义后,利用DCC-MVGARCH模型,检验了2003-2010年期间我国股票与债券、黄金间的动态相关性。结果显示,股票和债券间的相关性具有动态时变特征,我国债券不但是股票的长期对冲保值资产也是2008年股市危机后期的避险资产;股票与黄金间的动态相关性较弱,更接近于显著的常正相关,这揭示出我国黄金仅为股票的长期多元化资产。总体而言,股票与债券、黄金间的相关系数相对较低,反映出市场分割特征依然明显。

英文摘要：

After introducing some portfolio function definitions about correlation coefficients, this paper uses DCC-MVGARCH model to study the time varying relationships between stocks, bonds and gold from 2003 to 2010 in China. The research has useful information for the portfolio managements,market regulation and risk controls. We find that relationships between stocks and bonds have time-varying features,and bonds exhibit not only a hedge against stocks on average but also a safe haven after the peak of the financial crisis in 2008. In addition, the empirical results also reveal that gold is only a diversifier asset with respect to stocks. As a whole, the correlation coefficients are relatively low and the nature of market segmentation is still evident.