山西大同大学学报(自然科学版)
山西大同大學學報(自然科學版)
산서대동대학학보(자연과학판)
JOURNAL OF SHANXI DATONG UNIVERSITY(NATURAL SCIENCE EDITION)
2013年
4期
9-12
,共4页
景海霞%寇明婷%史润玲
景海霞%寇明婷%史潤玲
경해하%구명정%사윤령
人民币汇率%证券市场%波动溢出效应
人民幣彙率%證券市場%波動溢齣效應
인민폐회솔%증권시장%파동일출효응
RMB exchange rate%stock market%volatility spillover effect
基于二元VAR-BEKK-MVGARCH模型,以人民币兑美元汇率(RMB/USD)与上证综合指数每日收盘价为样本,分析了汇率制度改革后人民币汇率与A-股市场价格的波动溢出效应。我们的研究表明,汇率制度改革后,人民币兑美元汇率(RMB/USD)与中国A股市场股票价格指数之间的一阶价格溢出效应表现不明显,但存在显著的双向高阶波动溢出效应,且汇率市场对股票市场表现出更为强烈波动溢出效应。
基于二元VAR-BEKK-MVGARCH模型,以人民幣兌美元彙率(RMB/USD)與上證綜閤指數每日收盤價為樣本,分析瞭彙率製度改革後人民幣彙率與A-股市場價格的波動溢齣效應。我們的研究錶明,彙率製度改革後,人民幣兌美元彙率(RMB/USD)與中國A股市場股票價格指數之間的一階價格溢齣效應錶現不明顯,但存在顯著的雙嚮高階波動溢齣效應,且彙率市場對股票市場錶現齣更為彊烈波動溢齣效應。
기우이원VAR-BEKK-MVGARCH모형,이인민폐태미원회솔(RMB/USD)여상증종합지수매일수반개위양본,분석료회솔제도개혁후인민폐회솔여A-고시장개격적파동일출효응。아문적연구표명,회솔제도개혁후,인민폐태미원회솔(RMB/USD)여중국A고시장고표개격지수지간적일계개격일출효응표현불명현,단존재현저적쌍향고계파동일출효응,차회솔시장대고표시장표현출경위강렬파동일출효응。
T his paper investigates the impact of the spillover effect between RMB exchange rate and stock price after exchange rates reform in virtue of the VAR-BEKK-MVGARCH model. Our empirical analysis is based on the data from Shanghai A- share market and RMB exchange rates (RMB against US dollar RMB/USD). We have found that there are no price spillover effects between RMB exchange rate against US dollar and stock price, but a bi-directional volatility spillovers effect between RMB/USD and stock price, and the volatility spillover effect of RMB exchange rate to stock price is more significant than stock price to RMB exchange rate.