金融市场间波动溢出效应研究——GC-MSV模型及其应用

发布时间：2018-04-18 00:24

本文选题：金融市场 + 溢出效应　；参考：《中国管理科学》2013年02期

【摘要】：在资本自由流动、信息充分的背景下,金融市场之间受相同宏观经济因素的影响,往往会表现出协同变化的特征,外汇市场和股票市场间波动溢出效应一直是经济金融界研究的热点。随机波动模型是随机微分方程的离散化表示形式,其通过一个不可观测的随机过程来描述金融时间序列的波动特征,更适合于金融领域的实际研究。本文引入GC-MSV模型对我国汇改后汇市与股市间的波动溢出效应进行研究。实证结果表明,整体上汇市与股市间存在负相关的动态价格溢出效应;在人民币持续升值阶段和持续震荡阶段均存在不对称的波动溢出效应,且随时间推移波动溢出效应有所减弱。
[Abstract]:In the context of the free flow of capital and adequate information, financial markets, affected by the same macroeconomic factors, tend to exhibit synergistic characteristics.Volatility spillover effect between foreign exchange market and stock market has been a hot topic in the field of economy and finance.Stochastic volatility model is a discrete representation of stochastic differential equations, which describes the volatility characteristics of financial time series through an unobservable stochastic process, which is more suitable for practical research in the field of finance.In this paper, GC-MSV model is introduced to study the volatility spillover effect between the foreign exchange market and the stock market after the exchange rate reform in China.The empirical results show that there are negative correlation dynamic price spillover effects between the foreign exchange market and the stock market as a whole, and asymmetric volatility spillover effects exist in both the sustained appreciation stage and the sustained volatility stage of RMB.And the volatility spillover effect weakens with time.
【作者单位】：湖南大学工商管理学院;湖南大学金融与投资管理研究中心;
【基金】：国家社会科学基金项目(11BJY007) 教育部“长江学者和创新团队发展计划”项目(IRT0916) 教育部人文社科规划基金项目(10YJA630180,06JA790030) 湖南省软科学计划重点项目(2012ZK2007)
【分类号】：F224;F832.5

【共引文献】