纽约黄金期货与A股黄金板块波动溢出效应研究  

Research on Volatility Spillover Effects of Comex Gold Futures and Gold Industry of A-Share

作　　者：潘文荣[1] 程旭 李忆 Pan Wenrong,Cheng Xu,Li Yi(School of Statistics,Jiangxi University of Finance and Economics,JiangxiNanchang 33001)

机构地区：[1]江西财经大学统计学院,江西南昌330013

出　　处：《金融发展研究》2018年第5期79-84,共6页Journal Of Financial Development Research

摘　　要：随着全球金融市场自由化程度的不断提升,研究国际间金融市场波动溢出效应对于风险防范显得尤为重要。本文根据股票市场运行的不同周期将实证数据划分为牛市、熊市和盘整市三个时期,结合格兰杰因果检验方法与动态相关系数厚尾分布MSV模型,构建出DGC-t-MSV模型,以分析不同时期纽约黄金期货市场与A股黄金板块间的波动溢出效应。通过实证研究发现:在牛市时期,纽约黄金期货市场对A股黄金板块有着显著的单向波动溢出效应,而在其他时期,并未存在明显的波动溢出效应。With the increasing degree of liberalization of global financial markets, it is particularly important to study the volatility spillover effects between international financial market. This paper divides the empirical data into Bull Market,Bear Market and Concussive Market,the Grainger causality test is introduced to build the DGC-t-MSV model to analyze the spillover effect between the gold futures market and the gold industry of A-Share in different periods. Through an empirical research found that the gold futures market has a significant one-way volatility spillover effect on the stock market in Bull Market. In other periods,there is no obvious volatility spillover effect.

关 键 词：DGC-t-MSV模型 波动溢出效应 格兰杰因果检验 动态相关系数 

分 类 号：F830.94[经济管理—金融学]