The Study Of Comovement Between Financial Assets Based On Conditional High-order Moment

The pricing of financial assets and the acquisition of price changes in financial assets have been a hot topic in the financial study.To study the pricing of the conditional moments and the comovement among financial assets,we will use the bivariate Markov regime-switching model to estimate the conditional moments of financial asset yields,and then estimate the intertemporal capital asset pricing model by using the estimated conditional moments.This paper aims to study in the Chinese stock,bond and gold markets.We estimate the bivariate Markov regime-switching model by using the monthly rate of return in Shanghai Composite Index(000001.SS),the SSE Government Bond Index(000012.SS),the SSE Gold(Au9999)spot price and Shibor for the conditional means,conditional variance-covariance matrix,transition probability matrix and state probabilities.Then we calculate the conditional correlations,conditional skewnesses and conditional coskewnesses by using the formula based on the bivariate Markov regime-switching model,and we put the estimated conditional moments into the intertemporal capital asset pricing model.The advantage of the bivariate Markov regime-switching model is that it can solve the curse of dimensionality problem,which arises when analyzing and organizing data in high-dimensional spaces,and obtain more information of market movement.In the framework of the stock-bond model,the result shows that the conditional coskewnesses of stock returns is negative,while the conditional coskewnesses of bond yields is positive.So,the bond can help to disperse the risk of bond-stock portfolio and increasing the holdings of bonds or reducing the holdings of stocks will effectively disperse the risk in a recession.At the same time,the condition coskewnesses of stock returns are priced in the intertemporal capital asset pricing model,which means it has influence on the stock returns.On the contrary,the condition coskewnesses of stock and gold yield is both negative in the framework of the stock-bond model,which shows that gold is not a "safe haven" for stock portfolios.However,the conditional coskewnesses of stock returns is also priced in the intertemporal capital asset pricing model under the framework of the stock-gold model.