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我国外汇市场与股票市场间波动溢出效应实证研究——基于小波多分辨的多元BEKK-GARCH(1,1)模型分析

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Keywords: 外汇市场,股票市场,波动溢出效应,小波多分辨,多元BEKK-GARCH(1,1)

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Abstract:

?汇率机制和股权分置改革加强了我国汇市与股市一体化程度,近期人民币升值压力不断演化和几大经济危机爆发进一步增强了两个市场间的关联性。本文采用小波多分辨分析与多元BEKK-GARCH(1,1)模型相结合方式研究了国内汇市与股市之间的波动溢出关系,实证结果不仅表明两大市场存在显著的波动溢出效应,还发现在不同交易周期下存在着不同的波动溢出效应,短期来看股市向汇市有单向传递效应,随周期变长发展为双向溢出,其中又以汇市向股市波动溢出效应更为显著,长期则仅有小幅度溢出效应存在于股市向汇市波动传递过程中。

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