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本文运用Granger因果关系检验和GARCH-M模型对沪深股市收益率和波动性进行实证研究,表明沪深股市之间存在很强的相关性,存在正向风险溢价,在波动性的传导上存在非对称的“溢出效应”。
This paper uses the Granger causality test and GARCH-M model to empirical research on the returns and volatility of the Shanghai and Shenzhen stock markets, which shows that there is a strong correlation between the Shanghai and Shenzhen stock markets, there is a positive risk premium and exists in the volatility of the transmission Asymmetric “spillover effect.”