中国创业板与主板市场之间的信息溢出研究——基于交叉相关函数的信息溢出检验方法

发布时间：2018-11-18 09:51

【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。
[Abstract]:Based on the information spillover test method of cross-correlation function, this paper takes the gem index and HS300 index as the research objects, and analyzes the average, volatility and 1% downside risk of the gem market and the main board market between June 2010 and August 2016. Five percent downside risk and four kinds of information spillover effects are studied in one-way and bidirectional causality. The results show that the two-way Granger causality test between the gem and the main market is significant in the above four types of information spillover, indicating that the integration of the two markets is high; The one-way Granger causality test shows that there are only volatility information spillover effects and 5% downside risk spillover effects from the main market to the gem market, and no one-way spillover effect from the gem market to the main board market. It shows that the main market is the main market for financial risk prevention, and the gem market is in the position of passive absorption of information. The conclusion has the reference significance to the related transaction policy formulation.
【作者单位】：上海财经大学经济学院;
【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)
【分类号】：F832.51

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