A股纳入摩根斯坦利国际资本(Morgan Stanley Capital International,MSCI)新兴市场指数(入摩)是中国证券市场国际化的重大事件。研究这一事件的影响对日后持续推进我国资本市场的对外开放、制度创新有重要的现实意义。本文提出改进的事...A股纳入摩根斯坦利国际资本(Morgan Stanley Capital International,MSCI)新兴市场指数(入摩)是中国证券市场国际化的重大事件。研究这一事件的影响对日后持续推进我国资本市场的对外开放、制度创新有重要的现实意义。本文提出改进的事件研究法来客观地捕捉A股“入摩”及其首次扩容的事件窗口,进而划分事件影响的前后时间区间。随后,利用带格兰杰因果关系检验的多元随机波动(Grangercausality-Multiple Stochastic Volatility,GC-MSV)模型及条件自回归极差(Conditional Autoregressive Range,CARR)模型对A股“入摩”事件下内地与香港股市间的波动溢出关系进行研究。实证分析结果表明,内地与香港股市之间存在双向的波动溢出效应;首次纳入时的事件窗口较首次扩容的事件窗口持续时间更长,市场在首次纳入时反应更为强烈;在不同风险水平下,两市场间的波动溢出概率得到提高且逐渐趋于稳定;尤其在市场的低波动时期,内地股市对风险的敏感度显著提高;A股“入摩”使得内地股市对香港股市的波动溢出效应逐渐增强,两个市场之间的影响逐步趋同。展开更多
The volatility spillover effect between the foreign exchange and stock markets has been a major issue in economic and financial studies.In this paper,GC-MSV model was used to study the spillover effect between the for...The volatility spillover effect between the foreign exchange and stock markets has been a major issue in economic and financial studies.In this paper,GC-MSV model was used to study the spillover effect between the foreign exchange market and the stock market after the reform of the RMB exchange rate mechanism.The empirical results show that there is a negative correlation of dynamic price spillovers between the foreign exchange and stock markets.There are asymmetric volatility spillover effects between these two markets for both RMB stages—continued RMB appreciation or constant RMB shock(a significant reduction in appreciation).However,this has been reduced over time.In conclusion,The RMB exchange rate is a key variable that can affect the internal and external equilibrium of the national economy in an open economic environment,and the stock market is capable of quickly reflecting subtle changes in the real economy.In order to keep the stability of the financial markets and the healthy and rapid development of national economy,some suggestions were proposed.展开更多
文摘A股纳入摩根斯坦利国际资本(Morgan Stanley Capital International,MSCI)新兴市场指数(入摩)是中国证券市场国际化的重大事件。研究这一事件的影响对日后持续推进我国资本市场的对外开放、制度创新有重要的现实意义。本文提出改进的事件研究法来客观地捕捉A股“入摩”及其首次扩容的事件窗口,进而划分事件影响的前后时间区间。随后,利用带格兰杰因果关系检验的多元随机波动(Grangercausality-Multiple Stochastic Volatility,GC-MSV)模型及条件自回归极差(Conditional Autoregressive Range,CARR)模型对A股“入摩”事件下内地与香港股市间的波动溢出关系进行研究。实证分析结果表明,内地与香港股市之间存在双向的波动溢出效应;首次纳入时的事件窗口较首次扩容的事件窗口持续时间更长,市场在首次纳入时反应更为强烈;在不同风险水平下,两市场间的波动溢出概率得到提高且逐渐趋于稳定;尤其在市场的低波动时期,内地股市对风险的敏感度显著提高;A股“入摩”使得内地股市对香港股市的波动溢出效应逐渐增强,两个市场之间的影响逐步趋同。
基金supported by four funding projects,including National Social Science Foundation of ChinaFunding Project of Education Ministry for the Development of Liberal Arts and Social Sciences+1 种基金National Natural Science Foundation of ChinaProgram for Changjiang Scholars and Innovative Research Team in University of Ministry of Education of China.
文摘The volatility spillover effect between the foreign exchange and stock markets has been a major issue in economic and financial studies.In this paper,GC-MSV model was used to study the spillover effect between the foreign exchange market and the stock market after the reform of the RMB exchange rate mechanism.The empirical results show that there is a negative correlation of dynamic price spillovers between the foreign exchange and stock markets.There are asymmetric volatility spillover effects between these two markets for both RMB stages—continued RMB appreciation or constant RMB shock(a significant reduction in appreciation).However,this has been reduced over time.In conclusion,The RMB exchange rate is a key variable that can affect the internal and external equilibrium of the national economy in an open economic environment,and the stock market is capable of quickly reflecting subtle changes in the real economy.In order to keep the stability of the financial markets and the healthy and rapid development of national economy,some suggestions were proposed.
