中国股市与汇市波动溢出效应研究  

A Research into the Spillover Effects between China's Stock Markets and Foreign Exchange Markets

作　　者：吴奉刚[1] 王芙蓉[1] 

机构地区：[1]山东经济学院财政金融学院,山东济南250014

出　　处：《审计与经济研究》2008年第6期73-77,共5页Journal of Audit & Economics

基　　金：教育部人文社会科学规划基金项目(06JA790062)

摘　　要：以上证综合指数和人民币兑美元名义汇率为指标,运用多元GARCH模型对中国股票市场和外汇市场之间的波动溢出效应进行实证研究。结果表明:汇率制度改革后,我国股市与汇市存在显著的双向波动溢出效应;汇市对股市表现出较强的波动传导,而股市对汇市的波动传递则相对较弱,存在着波动传导的非对称性。This paper chooses two indexes of Shanghai composite index and the exchange rate of RMB against USD and investigates the spillover effects between China＇s stock markets and foreign exchange markets through the MGARCH model. The empirical study shows： there exist significant bidirectional spillover effects between the two markets after the regime of exchange rate. In contrast, the spillover effect from foreign exchange markets to stock markets is more significant than the one from stock markets to foreign exchange markets, which shows an obvious asymmetry effect.

关 键 词：人民币汇率 股票价格 波动溢出 

分 类 号：F830.73[经济管理—金融学]