沪港股市的波动溢出和时变相关性研究  

Fluctuated Spillovers between Shanghai and Hong Kong Stock Marketsand Their Time-varying Correlation

作　　者：龚朴[1] 李梦玄[1] 

机构地区：[1]华中科技大学管理学院

出　　处：《管理学报》2008年第1期96-100,共5页Chinese Journal of Management

基　　金：国家自然科学基金资助项目(70271028)

摘　　要：采用基于加权CCF的方差Granger因果检验方法,分析了上证指数、恒生指数收益序列的波动溢出效应,并以此信息为依据构建BEKK模型对两序列间的时变相关性进行了实证,结果显示两股市之间的波动溢出并不显著,一股市的冲击对另一股市的波动产生的传导性影响不明显;两股市的联系和联动性相对较弱,但有逐渐增大的趋势。Weighted cross correlation function-based causality-in-variance test was used to analyze the fluctuated spillovers between Shanghai composite index and Hang seng index, and BEKK model was built to test the time-varying correlation of the two time series. The results show that the fluctuated spillover between these two stock markets is not obvious and their correlation is small, but there is a trend toward the increase for the two tome series.

关 键 词：沪市 港市 波动溢出 时变相关 

分 类 号：F830.9[经济管理—金融学]