摘要
文章基于交叉相关函数的信息溢出检验方法,以创业板指数和HS300指数作为研究对象,对2010年6月到2016年8月期间中国创业板市场和主板市场的均值、波动率、1%下跌风险、5%下跌风险等四类信息溢出效应进行了单向和双向因果的实证研究。结果发现:创业板和主板市场之间的双向Granger因果关系检验在上述四类信息溢出上都是显著的,说明两个市场的一体化程度较高;单向的Granger因果检验发现,只存在从主板市场到创业板市场的波动率信息溢出效应和5%下跌风险溢出效应,没有发现从创业板市场到主板市场的任何单向溢出效应,表明金融风险的防范重点在主板市场,创业板市场处于被动吸收信息的地位。结论对相关交易政策的制定具有参考意义。
This paper is based on the information spillover test by cross-correlation function and takes Chinese GEM index and HS300 index as the research object to make an empirical study of one-way and two-way on four information spillover effects between GEM market and main board market in China from June 2010 to August 2016, including average, volatility, 1% decline risk and 5% decline risk. The empirical results show that： The two-way Granger causality test between GEM market and main board market is significant in the upper four information spillover, which indicates that the integration of the two markets is higher; The one-way Granger causality test finds that there only exists one-way volatility and 5% decline risk information spillover effect from main board market to GEM market, any one-way information spillover effect from GEM market to main board market does not exist, which shows that the focus of guarding against financial risk is main board market, and GEM market absorbs information in a passive position, which is a reference to making relevant trade policies.
出处
《华东经济管理》
CSSCI
北大核心
2017年第11期159-165,共7页
East China Economic Management
基金
上海财经大学研究生创新基金资助项目(CXJJ-2015-370
CXJJ-2015-371
CXJJ-2015-373
CXJJ-2015-378)
