股票市场波动性特征及溢出效应经验研究  

An Empirical Study on the Characteristics of Stock Market Volatility and Spillover Effect

作　　者：刘凤根[1] 周驭舰 LIU Feng-gen;ZHOU Yu-jian(School of Finance,Hunan University of Commerce,Changsha 410205,China;School of Economics and Finance,Xi＇an Jiaotong University,Xi＇an 710061,China)

机构地区：[1]湖南商学院财政金融学院,长沙410205 [2]西安交通大学经济与金融学院,西安710061

出　　处：《云南财经大学学报》2018年第11期47-58,共12页Journal of Yunnan University of Finance and Economics

基　　金：国家社会科学基金一般项目"宏观经济冲击下健全系统性金融风险度量与预警研究"(18BJY228);湖南省哲学社会科学基金项目"资产价格波动对居民财产性收入分配影响的实证研究"(09YBA086);湖南省高等学校科学研究项目"防止资产价格过快上涨和抑制资产泡沫问题研究"(09C587)

摘　　要：以1990~2016年中国上证综合指数、深圳成份指数、创业板指数及美国标准普尔500指数、香港恒生指数、俄罗斯RTS指数、印度孟买30指数的日收益率数据为研究样本,采用GARCH模型族对股票市场波动的集聚效应、持续效应、非对称效应、溢出效应进行实证比较分析。结果表明:中国内地股票市场中创业板指数的集聚效应和持续效应最大,但是不具有杠杆效应,上证综合指数的杠杆效应最强;中国内地股票市场的集聚效应和持续效应总体上大于其他股票市场,但杠杆效应在所有股票市场中最弱;中国内地股票市场与其他股票市场存在整体相关性,美国股票市场波动对中国内地股票市场波动具有溢出影响,中国内地股票市场波动对发达股票市场的影响很弱,对新兴股票市场有一定溢出影响。Based on the daily returns of China＇ s Shanghai Composite Index, Shenzhen Stock Exchange Component Index and ChiNext Index, American Standard and Poor＇ s 500 index, Hong Kong Hang Seng Index, Russian RTS Index, and Indian Bombay SENXEX -30 Index from 1990 to 2016, the article makes an empirical and comparative analysis on the clustering effect, sustain- ability effect, asymmetric effect and spillover effect of stock market by using GARCH models. The results show that ChiNext Index has the strongest clustering effect and sustainability effect in the stock market of China's Mainland, but it has no leverage effect while Shanghai Composite Index has the strongest leverage effect. In comparison with other stock markets, it turns out that the stock market of China's Mainland has stronger clustering effect and sustainability effect as a whole, but its leverage effect is the lowest. The stock market of China's Mainland has general correlation with other stock markets and American stock market volatility has spillover effect on it. The stock market of China's Mainland casts little effects on mature stock markets while it has certain effects on emerging stock markets.

关 键 词：股票市场波动 市场内效应 市场间效应 

分 类 号：F830.91[经济管理—金融学]