| 上海股票市场和国际主要股票市场之间波动溢出效应的实证研究 |
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| 引用本文： | 王远林.上海股票市场和国际主要股票市场之间波动溢出效应的实证研究[J].数学的实践与认识,2011,41(21). |
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| 作者姓名： | 王远林 |
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| 作者单位： | 东北财经大学数学与数量经济学院、经济计量分析与预测研究中心,辽宁大连,116025 |
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| 基金项目： | 辽宁省教育厅人文社会科学研究项目(2009A248);辽宁省教育厅高等学校创新团队项目(2008T046); 国家社会科学基金(09BTJ013) |
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| 摘 要： | 使用BEKK—二元GARCH(1,1)模型,对于我国股票市场和国际主要股票市场之间的波动溢出效应进行了实证研究.分析结果表明,上证综指和标准普尔500指数、日经225指数之间存在单向波动溢出效应,而上证综指和香港恒生指数之间存在双向波动溢出效应,上证综指和新加坡海峡时报指数之间不存在波动溢出效应.
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| 关 键 词： | 股票市场 波动溢出效应 BEKK—二元GARCH(1 1)模型 |
An Empirical Research of Volatility Spillover Effects Between Shanghai Stock Market and World Major Stock Markets |
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| WANG Yuan-lin.An Empirical Research of Volatility Spillover Effects Between Shanghai Stock Market and World Major Stock Markets[J].Mathematics in Practice and Theory,2011,41(21). |
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| Authors: | WANG Yuan-lin |
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| Institution: | WANG Yuan-lin (School of Mathematics and Quantitative Economics,Center for Econometric Analysis and Forecasting,Dongbei University of Finance & Economics,dalian 116025,China) |
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| Abstract: | In this paper we uses BEEK—two variable GARCH(1,1) models to analyze volatility spillover effects between Shanghai stock market and world major stock markets.We find that there are one way volatility spillover effects between Shanghai Stock Exchange Composite Index and s & p 500 index,Nikkei 225 index,but there are two way volatility spillover effects between Shanghai Stock Exchange Composite Index and Hong Kong hang seng index,at last there isn't volatility spillover effects between Shanghai Stock Exchange Cornposite Index and Singapore straits times index. |
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| Keywords: | stock market volatility spillover effects BEEK—two variable GARCH(1 1) models |
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