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本文选取上证综指和人民币对美元名义汇率两个变量,运用GARCH-BEKK模型对我国股市与汇市之间的波动溢出效应进行了实证研究。结果表明,汇改后我国股市与汇市存在双向波动溢出效应,且有非对称性的特点,即汇市对股市的波动溢出效应比股市对汇市的波动溢出效应更强。
This paper selects two variables of the Shanghai Composite Index and the nominal exchange rate of RMB against the US dollar, and uses the GARCH-BEKK model to study the volatility spillover effect between the stock market and the foreign exchange market in our country. The results show that there is a two-way volatility spillover effect between the stock market and the foreign exchange market after the reform in our country, and there is asymmetry. The volatility spillover effect of the foreign exchange market on the stock market is stronger than the volatility spillover effect of the foreign exchange market on the foreign exchange market.