基于向量GARCH模型的国际证券市场波动溢出研究  

Research of Information Transmission Mode for International Securities Markets:Based on Vector GARCH Model

作　　者：王鹰翔[1,2] 张鲁欣[3,2] 

机构地区：[1]西安交通大学管理学院,西安710049 [2]中国工商银行总行信贷管理部,北京100032 [3]中国社会科学院金融学院,北京100732

出　　处：《管理评论》2011年第6期49-53,共5页Management Review

摘　　要：以向量GARCH模型为基础,研究了国际证券市场中上海A股市场、香港市场和美国市场的均值溢出效应和波动溢出效应,并且给出了中国证券市场发展的政策建议。研究结果表明,三个市场均不存在单向的均值溢出效应,上海A股市场和美国证券市场存在双向的波动溢出效应。上海A股市场和美国证券市场存在波动溢出效应,反映了中国资本市场和美国资本市场融合程度的加强。IBased on vector GARCH model,this paper studies the mean and volatility spillover effect of international securities markets,and some advices for the development of Chinese stock market are given.The results show that one-way mean spillover effect does not exist in international securities markets.There is a two-way market volatility spillover effect between the United States stock market and Shanghai A-share market.The existence of volatility spillover effect in above markets indicates that Chinese capital market and the United States capital market are becoming increasingly integrated.

关 键 词：向量GARCH模型 信息传递 波动溢出 

分 类 号：F224[经济管理—国民经济] F831.51