外汇市场与股票市场之间的溢出效应研究——基于W-VAR-MGARCH-BEKK模型的分析  

Spillover Effect Research between the Foreign Exchange Market and the Stock Market :Based on W-VAR-MGARCH-BEKK Model

作　　者：肖云湘[1] 李星野[1] 

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《南方金融》2014年第2期59-64,共6页South China Finance

基　　金：国家自然科学基金项目<基于超网络模型的科学知识图谱分析研究>(项目编号:71071098);上海市一流学科(系统科学)项目(项目编号:XTKX2012)的资助

摘　　要：本文引入小波多分辨分析方法,并利用VAR–MGARCH–BEKK模型来分析外汇市场与股票市场在不同周期上的溢出效应。实证结果表明:随着交易周期的增长,股票市场对外汇市场的溢出效应强于外汇市场对股票市场的溢出效应。金融监管当局要注意股票市场对外汇市场的信息传递,适时地切断风险传播渠道,有效地防范和化解金融风险在金融市场间的传递。This paper uses wavelet multi-resolution and the VAR-MGARCH-BEKK model to analyze the spillover effects of the foreign exchange market and the stock market in different periods. The empirical results show that with the growth of trade cycle, the spillover effect of the stock market on the foreign exchange market is stronger than the spillover effects of the foreign exchange market to the stock market. The financial regulatory authorities must pay more attention on the information transfer of the stock market to the foreign exchange market, cutting transmission channels of the risk timely, guarding against and defusing financial risks passed in financia1. markets effectively.

关 键 词：资本市场 溢出效应 多分辨分析 

分 类 号：F830.92[经济管理—金融学] F830.91F224