本文選題：牛市 + 熊市��； 參考：《管理科學學報》2012年11期

【摘要】：本文按照上證綜合指數(shù)的走勢將2005年7月22日至2008年10月28日的整個樣本區(qū)間劃分為牛市和熊市兩個樣本子區(qū)間,采用樣本子區(qū)間內(nèi)的興業(yè)銀行人民幣綜合匯率指數(shù)和上證綜合指數(shù)對數(shù)收益率的日數(shù)據(jù),通過VAR(p)-BVGJR-GARCH(1,1)-BEKK模型實證分析了2005年匯改后不同市態(tài)下中國匯市和股市間溢出效應的異化現(xiàn)象.結(jié)果顯示,匯改后,牛市和熊市中的中國匯市與股市間溢出效應存在著顯著差異.牛市時期,匯市和股市的條件方差對自身負沖擊都具有非對稱性,兩市場間不存在均值溢出效應,但存在顯著的雙向波動溢出效應,且一個市場的條件方差對另一市場負沖擊都存在非對稱效應.而熊市時期,只有匯市的條件方差對自身負沖擊具有非對稱性,匯市股市間只存在股市對匯市單向的均值和波動溢出效應,且一個市場的條件方差對另一市場負沖擊均不存在非對稱效應.
[Abstract]:According to the trend of Shanghai Composite Index, this paper divides the whole sample interval from July 22, 2005 to October 28, 2008 into two sample sub-regions: bull market and bear market. Based on the daily data of RMB exchange rate index and logarithmic return rate of Shanghai Composite Index, this paper empirically analyzes the alienation of spillover effect between China's foreign exchange market and stock market under different market conditions after the exchange rate reform in 2005 by using VAR (p) -BVGJR-GARCH (1 / 1) -BEKK model. The results show that there are significant differences in spillover effects between China's foreign exchange market and stock market in bull market and bear market. During the bull period, the conditional variance of the foreign exchange market and the stock market are asymmetric to their own negative impact. There is no mean spillover effect between the two markets, but there is a significant two-way volatility spillover effect between the two markets. Moreover, the conditional variance of one market has asymmetric effect on the negative impact of the other market. In the bear market, only the conditional variance of the foreign exchange market is asymmetric to its own negative impact, and there are only the one-way mean and volatility spillover effects between the foreign exchange market and the foreign exchange market. Moreover, the conditional variance of one market has no asymmetric effect on the negative impact of the other market.
【作者單位】： 華東理工大學商學院;南加州大學維特比工程學院;
【基金】：國家自然科學基金資助項目(71171083) 教育部人文社會科學研究基金資助項目(09YJC630075)
【分類號】：F224;F832.52;F832.51

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本文編號：2061138