汇改后不同市态下汇市与股市溢出效应的异化

发布时间：2018-06-24 09:58

本文选题：牛市 + 熊市　；参考：《管理科学学报》2012年11期

【摘要】：本文按照上证综合指数的走势将2005年7月22日至2008年10月28日的整个样本区间划分为牛市和熊市两个样本子区间,采用样本子区间内的兴业银行人民币综合汇率指数和上证综合指数对数收益率的日数据,通过VAR(p)-BVGJR-GARCH(1,1)-BEKK模型实证分析了2005年汇改后不同市态下中国汇市和股市间溢出效应的异化现象.结果显示,汇改后,牛市和熊市中的中国汇市与股市间溢出效应存在着显著差异.牛市时期,汇市和股市的条件方差对自身负冲击都具有非对称性,两市场间不存在均值溢出效应,但存在显著的双向波动溢出效应,且一个市场的条件方差对另一市场负冲击都存在非对称效应.而熊市时期,只有汇市的条件方差对自身负冲击具有非对称性,汇市股市间只存在股市对汇市单向的均值和波动溢出效应,且一个市场的条件方差对另一市场负冲击均不存在非对称效应.
[Abstract]:According to the trend of Shanghai Composite Index, this paper divides the whole sample interval from July 22, 2005 to October 28, 2008 into two sample sub-regions: bull market and bear market. Based on the daily data of RMB exchange rate index and logarithmic return rate of Shanghai Composite Index, this paper empirically analyzes the alienation of spillover effect between China's foreign exchange market and stock market under different market conditions after the exchange rate reform in 2005 by using VAR (p) -BVGJR-GARCH (1 / 1) -BEKK model. The results show that there are significant differences in spillover effects between China's foreign exchange market and stock market in bull market and bear market. During the bull period, the conditional variance of the foreign exchange market and the stock market are asymmetric to their own negative impact. There is no mean spillover effect between the two markets, but there is a significant two-way volatility spillover effect between the two markets. Moreover, the conditional variance of one market has asymmetric effect on the negative impact of the other market. In the bear market, only the conditional variance of the foreign exchange market is asymmetric to its own negative impact, and there are only the one-way mean and volatility spillover effects between the foreign exchange market and the foreign exchange market. Moreover, the conditional variance of one market has no asymmetric effect on the negative impact of the other market.
【作者单位】：华东理工大学商学院;南加州大学维特比工程学院;
【基金】：国家自然科学基金资助项目(71171083) 教育部人文社会科学研究基金资助项目(09YJC630075)
【分类号】：F224;F832.52;F832.51

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