A、B股之间的信息流动与波动溢出  

Information Flows and Volatility Spillover across A Share and B share Market in China

作　　者：赵留彦[1] 王一鸣[1] 

机构地区：[1]北京大学经济学院北京大学中国金融研究中心,北京100871

出　　处：《金融研究》2003年第10期37-52,共16页Journal of Financial Research

基　　金：国家社会科学基金(02CJL007)的资助

摘　　要：向量GARCH模型的实证结果表明,A股的波动冲击会影响到以后B股的波动,B股的波动冲击则不会对以后A股的波动产生明显影响,即是仅存在A股向B股的单向波动溢出。分阶段的研究进一步认为,2001年2月B股对境内投资者开放事件加强了A股和B股两个市场之间的联系:此前A股和B股的波动相对独立,而此后则存有明显的A股向B股的波动溢出效应;每个时段B股向A股的波动溢出都不显著。Using multivariate GARCH models, the authors point out that there is an asymmetry in the predictability of the volatility of A share verses B share. Before the openness to domestic investors of B share in Feb. 2001, the volatility of B share and A share are relatively independent. After that, there is a prominent volatility spillover effect from A share to B share. However, the authors find no spillover effect from B share to A share at any moment, no matter before or after the openness of B share to domestic investors.

关 键 词：波动溢出效应 B股对内开放 向量GARCH模型 

分 类 号：F830.91[经济管理—金融学]