学术
摘 要:
基于向量GARCH模型中的BEKK模型建模，并结合Granger因果分析，对我国与美国股票市场间溢出效应进行分析，并对其最新整合趋势进行实证研究，其结果表明中国股市与美国股市已经开始受一些共同信息的影响，而产生共同的波动。已基本完成的股权分置改革是一场革命，中国股市的成熟化以及国际化的道路已成定局。中国市场不再完全独立于世界市场而自行运转，而是日益向海外成熟股市靠拢。[著者文摘]
文章出处:
《海南大学学报：人文社会科学版》-2007年25卷3期 -273-278页
栏目信息:
文献标识码:
A
文章编号:
1004-1710（2007）03-0273-06
相关文章:
An Inquiry in the Spillover Effects and Tendency of Integration between Sino and US Stock Markets
YANG Yi （ School of Finance, Shanghai University of Finance and Economics, Shanghai 200433, China）
Abstract:
Based on BEKK model, one of the vector GARCH models, and combined with Granger causality test, this paper ventures to investigate the spillover effects and tendency of integration between China and US stock markets by empirical analysis. The results show that there are no significant mean and volatility spillover effects among those markets in the long term. However, the bidirectional volatility spillover effect is significant in the short term. This suggests that the Chinese and US stock markets have been influenced by some common information and are subject to conjunct volatility. It also implies that the Chinese stock market is moving towards maturity and internationalization, and is increasingly integrated with the sophisticated international market.[著者文摘]
Key words:
stock markets ; spillover effect ; volatility ; integration
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