中国股市与汇市的波动溢出效应模型研究与实证分析  

The Modeling Study and Empirical Analysis of Volatility Spillover Effect between the Stock Market and the Foreign Exchange Market in China

作　　者：张鸿雁[1] 李丽敏[1] 李雅婷[1] 

机构地区：[1]中南大学数学与统计学院,长沙410083

出　　处：《数学理论与应用》2013年第3期37-47,共11页Mathematical Theory and Applications

基　　金：湖南省自然科学基金项目资助(10JJ5001);中南大学自由探索计划资助(2282013bks152);中南大学教改项目资助(2012-108-53)

摘　　要：选取2009年1月5日-2012年5月22的人民币兑美元汇率和上证综指的日交易数据为对象，采用BEKK—GARCH模型，并结合LR似然比检验，对中国汇市与股市的波动溢出效应进行建模研究与实证分析．实证结果表明，整体样本存在汇率到上证指数的波动溢出，这种溢出是单向的；第二次汇改前，既不存在汇率到上证指数的波动溢出，也不存在上证指数到汇率的波动溢出；第二次汇改后，既存在汇率到上证指数的波动溢出，也存在上证指数到汇率的微弱的波动溢出．The article chooses RMB - US exchange rate and the Shanghai Composite index between Jan. 5,2009 and May. 22,2012 as the research object. Applying BEKK -GARCH model and LR likelihood ratio test to modeling study and analyze empirically on volatility spillover effect between the stock market and the foreign exchange market in Chi- na. The results show that, for the whole sample, there is volatility spillover effect from the exchange rate to the Shang- hai Composite index, the spillover is unidirectional. There isn＇ t volatility spillover between the exchange rate and the Shanghai Composite index berore the second RMB exchange rate system reform. After the second reform, there exists bidirectional volatility spillover effect between the two series. But the volatility spillover from the Shanghai Composite index to the exchange rate is weak.

关 键 词：波动溢出 ADF单位根检验 GRANGER因果检验 BEKK—GARCH模型 

分 类 号：F224[经济管理—国民经济] F832.5