国内外股市波动溢出效应——基于多元GARCH模型的实证研究

通过对多个股票市场间波动溢出效应的研究,可以了解波动风险在市场间的传导路径和方向,以及在股市因外部冲击动荡前做出短期预测。本文以美国、日本、香港和我国沪市作为研究对象,采用多元GARCH模型对国内外股市波动溢出关系进行了研究。结果表明:只有香港股市对沪市具有显著的波动溢出,美、日股市对沪市的波动溢出则不显著,但由于美、日股市波动均对香港股市具有传染效应,它们可以借助对香港股市波动的影响间接地引起我国沪市的波动。所以,对我国沪市外部波动风险的把握在短期上应主要关注香港股市波动,其次还必须关注日本和美国股市的波动,尤其是美国股市的波动。

Volatility Spillover Effects and Risk Contagious:Evidence from the Domestic and Foreign Stock Markets Based on the MGARCH Mode

Through the study on the volatility spillover effects between stock markets,we can gain an insight into the paths and directions of risk contagious,and we can also make a short-term prediction under external shocks.This paper investigates the volatility spillover between the equity markets in U.S.A,Japan,Hongkong and Shanghai.The empirical study shows that there only exists the unidirectional spillover from Hongkong market to Shanghai Share A market,and there are not significant spillover effects between Share A and U.S.A.market,and no between Share A and Japan market.But Japan and U.S.A.stock market indirectly influence Share A because of the spillover from the stock markets in Japan and U.S.A.to Hongkong market.Conclusively,we should pay more attention to the volatility of Hongkong maket in the short term when we consider the external volatility risk to Share A,furthermore is the volatility from Japan and U.S.A.market,especially from U.S.A.market.