基于BEKK-GARCH模型的人民币汇率与科创板股价联动性研究  

Research on the Linkage Between RMB Exchange Rate and Stock Price of Science and Technology Innovation Board Based on BEKK-GARCH Model

作　　者：杨磊 邹丹 YANG Lei;ZOU Dan(School of Economics,Heilongjiang University of Science and Technology,Harbin Heilongjiang 150022,China)

机构地区：[1]黑龙江科技大学经济学院,黑龙江哈尔滨150022

出　　处：《金融理论与教学》2023年第5期26-31,共6页Finance Theory and Teaching

基　　金：黑龙江省哲学社会科学研究规划项目“后疫情时代黑龙江省消费金融发展研究”(20JYE268)。

摘　　要：随着我国金融市场的不断开放,其与世界主要市场间的联动性逐渐显现。人民币汇率是宏观经济中的重要变量,而科创板股价(科创50指数)是中国股市的新生变量,二者间的变动均对金融市场稳定具有重要作用。研究基于Granger因果和BEKK-GAR CH(1,1)模型,通过变动率指标研究人民币汇率与科创板股价的联动性。实证结果表明:科创板股价收益率与人民币汇率收益率存在非对称、差异化的均值溢出效应;人民币汇率与科创板股价间不存在显著的波动溢出效应。With the continuous opening-up of China’s financial market,its linkage with major markets in the world has gradually increased.The exchange rate of RMB serves as an important variable in the macroeconomic system,while the stock price of the STAR market(Science and Technology Innovation 50 Index)serves as an nascent variable in China’s stock market,and the movements between them both play an important role in the stability of the financial market.Based on Granger causality and BEKK-GARCH(1,1)model,the study investigates the linkage between the RMB exchange rate and the stock price of STAR market through the rate of change indicator,and the empirical result shows that:there is an asymmetric and differentiated mean value spillover effect between the rate of return of stock price in the STAR market and the RMB exchange rate;there is no significant volatility spillover effect between the RMB exchange rate and the stock price of the STAR market.

关 键 词：人民币汇率 科创板 联动性 BEKK-GAR CH(1 1) 

分 类 号：F832.39[经济管理—金融学]