国内股市与国际股市、大宗商品市场的溢出效应研究  

Research on the Spillover Effect among China's Stock Market,International Stock Market and International Commodity Market

作　　者：闻岳春[1] 王婕[1] 程天笑[1] 

机构地区：[1]同济大学经济与管理学院

出　　处：《国际金融研究》2015年第8期31-43,共13页Studies of International Finance

基　　金：国家自然基金项目"中国资本市场系统稳定性评估与监测研究"(项目批准号:71273190);国家社科基金重大项目"创新型国家背景下的科技创新与金融创新结合问题研究"子课题"促进科技创新的资本市场创新研究"(编号:11&ZD139)的部分研究成果

摘　　要：在我国加快金融市场对外开放的趋势下,伴随着国际大宗商品交易金融化程度的提高,国内股市将同时面临来自国际股市与国际大宗商品市场的冲击。本文分别基于VAR模型与DCC-MGARCH模型,从收益率溢出与波动率溢出两个角度,实证分析了国际金融危机前后,国内股市与美国、欧洲、日本、中国香港等主要国际股市,以及石油、铜、黄金等主要国际大宗商品市场间的相互作用与影响。研究结论表明,国际股市不仅直接影响国内股市的收益与波动,而且间接通过国际大宗商品市场对国内股市产生收益率与波动率溢出;伴随着国际大宗商品市场金融化程度的提高,国际大宗商品市场对于国内股市的直接性溢出效应不断增加。With the trend of financial market opening, along with the increasing financialization of international commodity market, domestic stock market will face the shock from international stock markets and international commodity markets. Based the VAR and DCC-MGARCH model, the paper studies the interaction between and among Chinese domestic stock market, international stock markets which include China, US, Europe, Japan and Hong Kong, and international commodity markets which include gold, copper and oil, from the aspects of return spillover and volatility spillover respectively. The research conclusion indicates that the international stock markets not only have direct spillover effect on the Chinese domestic stock market, but also have indirect influence by interacting with the international commodity markets.

关 键 词：溢出 大宗商品 VAR DCC—MGARCH 

分 类 号：F831[经济管理—金融学]