摘要
在经济全球化和金融一体化的背景下,中国与世界主要股市间的联系越来越紧密,一国或地区股市的波动会对其他股市产生影响。本文基于2002-2017年的样本数据,运用BEKKGARCH模型,结合时差因素,采用全样本、分阶段以及滚动窗口法,全面考察中国和世界主要股市间的波动溢出效应。结果表明:中国和世界主要股市间存在波动溢出效应,并且具有明显的阶段性变化的特征。早期中国和世界主要股市的运行相对独立,波动溢出效应不明显;金融危机和欧债危机期间,美国和欧洲股市波动开始溢出至中国股市;近年来,随着中国经济国际地位的提升,中国股市波动开始向外溢出到美国和欧洲股市;中日股市间的波动溢出效应不明显,中港股市间的波动溢出效应较为明显。本文研究揭示了中国与世界主要股市间波动溢出效应的传导方向和强弱变化特征,为维护中国股市健康稳定发展以及投资者资产配置和风险管理提供了有益的参考。
In the context of economic globalization and financial integration,China’s stock market and world’s major stock markets are increasingly connected and fluctuations in one market can affect other markets.Based on the sample data in 2002—2017,this paper applies the BEKK-GARCH model combined with the time difference factor to comprehensively investigate the volatility spillovers between China’s stock market and world’s major stock markets using full sample,phased samples and rolling window approach.Results show that there exist volatility spillovers between China^stock market and worlds major stock markets with obvious characteristics of phased changes.In early years,the operations of China’s stock market and world’s major stock markets were relatively independent and the volatility spillover effects were not obvious.During the financial crisis and the European debt crisis,the US and European stock market’s volatility began to spill over to China’s stock market.In recent years,with the improvement of the international status of China’s economy,the volatility of China’s stock market began to spill over to the US and European stock markets.The volatility spillover between China^stock market and Japan^stock market was not obvious,and the volatility spillover between China's stock market and China—Hong Kong stock market was more obvious.This study shows the transmission direction and strength characteristics of the volatility spillovers between China’s stock market and world’s major stock markets,providing useful references for the maintenance of healthy and stable development of China’s stock market and for asset allocation and risk management of investors.
作者
蒋彧
张玖瑜
JIANG Yu;ZHANG Jiuyu(School of Business,Nanjing University,Nanjing Jiangsu,210093)
出处
《中国经济问题》
CSSCI
北大核心
2019年第6期28-43,共16页
China Economic Studies
基金
国家自然科学基金(71301072)
教育部人文社会科学研究一般项目(17YJC79006)资助
