中国股市行业收益率波动传导机制及其时变特征——基于BEKK-MGARCH的实证分析  

The Mechanism and Time-Varying Characteristics of Sector Volatility Transmission in China Stock Market——An Empirical Study Based on BEKK-MGARCH Model

作　　者：杨扬[1] 林惜斌[2] 

机构地区：[1]中山大学国际商学院,广州广东519082 [2]中国金融期货交易所,广东深圳200122

出　　处：《金融经济学研究》2013年第2期86-98,共13页Financial Economics Research

基　　金：教育部人文社科青年项目(10YJC790333);中国博士后科学基金项目(20090460833);广东省社科基金青年项目(GD10YYJ02);中山大学经济研究所资助

摘　　要：基于2001年以来中国证券市场行业指数,采用BEKK-MGARCH模型,从周期性、产业链条两个角度深入考察了中国股市行业收益率波动的传导机制及其时变特征。首先,根据数据特征将样本期分为三阶段;其次,区分周期性与非周期性两组行业,结合模型和脉冲响应分析其收益率波动特征;最后采用非对角化的BEKK-MGARCH模型研究金融房地产产业链条的波动传导机制、时变特征及影响因子大小。研究表明:首先,行业收益率波动存在显著溢出效应,其中第三阶段周期性行业内部的波动溢出效应比非周期性内部更加明显;其次,金融服务业与房地产行业间也呈现出相似的时变特征,在第一阶段金融与房地产波动溢出关系不显著,而在后两阶段便呈现显著的双向溢出。Based on the sector indices which have been divided into three periods ac-cording to their characteristics, this paper employs a multivariate BEKK-MGARCH model to separately investigate the mechanism, time-varying characteristics and impact fadtors of periodic sectors, aperiodic sectors and financial-real estate industry chain. Studies have shown that：First, there exists significant volatility spillover between sector returns overall. And in the third stage of the sample, the volatility spillover is more significant among period- ic sectors than in the aperiodic sectors. Secondly, financial-real estate sector chain shares similar time-varying characteristics. In the first phase, the volatility spillover of this industry chain was not significant,while in the latter two stages it shows a significant two-way vola-tility spillover between the two sectors.

关 键 词：行业收益率波动 BEKK—GARCH模型 时变特征 

分 类 号：F830.91[经济管理—金融学]