B股与H股及红筹股之间的溢出效应与信息流动  

The Spillover Effects and Information Flow between B Shares and H Shares,Red Chips

作　　者：胡新明[1] 唐齐鸣[2] 

机构地区：[1]广东商学院金融学院,广东广州510320 [2]华中科技大学经济学院,湖北武汉430074

出　　处：《管理工程学报》2008年第4期159-162,共4页Journal of Industrial Engineering and Engineering Management

基　　金：国家社科基金项目(06BJY011)

摘　　要：运用向量GARCH-M模型检验了B股与H股及红筹股之间的溢出效应与信息流动。实证结果表明:红筹股对沪深市B股、H股对沪市B股的收益和波动溢出效应均显著存在,而反向的溢出效应均不显著,表明信息是从红筹股向沪深市B股、从H股向沪市B股单向流动的;深市B股与H股之间相互的收益溢出效应均存在,而波动溢出效应均不存在,信息在H股和深市B股之间的流动情况不明显;在信息流动过程中,红筹股始终处于信息领先地位。This paper examines spillover effects and information inflow between B Shares and H Shares, rod chips in China based on a vector GARCH-M model. Our empirical findings show that there are both significant returns and volatility spillover effects from red chips to B shares, and no such spillovers from B shares to red chips, which indicates that there is an information flow from red chips to B shares separately. We also find returns and volatility spillovers from H shares to Shanghai＇s B shares and no such effects from Shanghai＇s B shares to H shares. In contrast to shanghai＇s B shares, there are return spillover effects to each other between Shenzhen＇s B shares and H shares, hut no volatility effects between them. Red chips always play a leading role in the information flow among B Shares, H Shares and rod chips.

关 键 词：向量GARCH-M模型 溢出效应 信息流动 B股 H股 红筹股 

分 类 号：F830.91[经济管理—金融学]