北京理工大学学报：社会科学版
北京理工大學學報：社會科學版
북경리공대학학보：사회과학판
Journal of Beijing Institute of Technology（Social Sciences Edition)
2011年
3期
55~59
,共null页
VAR-（BV）EGARCH 均值和波动溢出 非对称性
VAR-（BV）EGARCH 均值和波動溢齣 非對稱性
VAR-（BV）EGARCH 균치화파동일출 비대칭성
VAR-（BV）EGARCH; return and volatility spillovers; asymmetries
将利率作为外生变量,运用VAR-（BV）EGARCH模型对可转债市场与股票市场之间的溢出效应进行研究。研究结果表明：在收益溢出方面,只存在股票市场对可转债市场的溢出效应。在波动溢出方面,存在可转债市场与股票市场之间的双向溢出效应;并且存在利率市场向股票市场的单向波动溢出效应。从非对称溢出效应来看,存在股票市场对可转债市场的波动溢出的非对称性,由此可以看出,股票市场仍然是出于绝对支配地位的金融市场。
將利率作為外生變量,運用VAR-（BV）EGARCH模型對可轉債市場與股票市場之間的溢齣效應進行研究。研究結果錶明：在收益溢齣方麵,隻存在股票市場對可轉債市場的溢齣效應。在波動溢齣方麵,存在可轉債市場與股票市場之間的雙嚮溢齣效應;併且存在利率市場嚮股票市場的單嚮波動溢齣效應。從非對稱溢齣效應來看,存在股票市場對可轉債市場的波動溢齣的非對稱性,由此可以看齣,股票市場仍然是齣于絕對支配地位的金融市場。
장리솔작위외생변량,운용VAR-（BV）EGARCH모형대가전채시장여고표시장지간적일출효응진행연구。연구결과표명：재수익일출방면,지존재고표시장대가전채시장적일출효응。재파동일출방면,존재가전채시장여고표시장지간적쌍향일출효응;병차존재리솔시장향고표시장적단향파동일출효응。종비대칭일출효응래간,존재고표시장대가전채시장적파동일출적비대칭성,유차가이간출,고표시장잉연시출우절대지배지위적금융시장。
Based on VAR-（BV）EGARCH model which introduces interest rate as exogenous variable in the first time,this paper studies on the spillover effects between Chinese convertible bonds and stock markets.The research results can be divided into three aspects.Firstly,return spillover only exists from stock to convertible bonds markets;secondly,there are bidirectional volatility spillover effects between convertible bonds and stock markets.At the same time,volatility spillovers exist from interest rate market to stock market.Thirdly,there is asymmetric spillovers effect from stock to bonds convertible markets.So we can see that the stock market is still absolutely dominant in these two financial markets.
