摘要
随着我国经济和金融业的不断发展,金融子市场间逐渐显现出了协同运动的趋势。利用向量自回归多元GARCH模型对我国股市、汇市和债市间的价格及波动溢出效应进行研究,结果表明:股市、汇市和债市间均不存在价格波动溢出,但都具有方差时变性和波动持久性;股市与汇市间、汇市与债市间均存在非对称的双向波动溢出效应;股市与债市间只存在从股市到债市的单向波动溢出效应。
With the development of economics and of China,the tendency of co-movement is emerging among financial markets.In this paper,we investigate the price and volatility spillover among them by utilizing VAR-MVGARCH model,and we find:1) there is no price spillover effect among the three markets,but they all have time-varying variance persistent volatility; 2) there exists asymmetrical bidirectional volatility spillover effect bothbetween stock market and currency market and exchange market and bond market; 3) however,between stock market and bond market there is only unidirectional volatility spillover effect from stock market to bond market.
出处
《暨南学报（哲学社会科学版）》
CSSCI
北大核心
2010年第4期37-45,共9页
Jinan Journal(Philosophy and Social Sciences)
基金
广东省自然科学基金项目<质量水平的分析模型和经济计算及统计推断>(批准号:8151063201000029)
