摘要
互联互通是世界经济飞速发展的动力源,在促进了各国之间的经济往来的同时,也加深了各国股票市场之间的联系。中国与巴西、俄罗斯作为经济合作程度较高,三个国家的股票市场也有很多相似的特征。因此,研究中国、巴西、俄罗斯股票市场之间的波动溢出效应有很重要的学术意义。本文选取中证500指数、巴西IBOVESPA指数、俄罗斯RTS指数,作为中国内地、巴西、俄罗斯股票市场的代表,对2014年1月1日至2019年12月31日的收益率序列做波动溢出效应的实证研究。格兰杰因果检验的结果表明,仅有俄罗斯股票市场收益率的变动是中国股票市场、巴西股票市场收益率变动的格兰杰原因。基于BEKK-GARCH模型,研究发现中国、巴西、俄罗斯的股票市场都体现出波动的聚集性和持久性溢出效应,并且中国与巴西股票市场、中国与俄罗斯股票市场、巴西与俄罗斯股票市场之间都存在双向的波动溢出效应。本文将小波分析引入研究,与多元BEKK-GARCH(1,1)模型相结合,把三个国家股票市场的收益率序列分解为不同尺度的信号,对应建立不同交易周期下的波动溢出效应模型。结果发现在短期、中期和长期的时间尺度下,三个股票市场相互之间依然显著存在双向溢出效应。文章建议政策制定者关注股票市场间的溢出关系,完善监管体制,并且出台抵御市场剧烈波动的政策。同时,又从投资者的角度出发,提醒投资者不要忽视高关联程度的股票市场的重要信息。
Connectivity is a power source for the rapid development of the world economy,which promotes economic exchanges between countries while deepening the links between their stock markets.China and Brazil,Russia as a high degree of economic cooperation,the stock markets of the three countries also have many similar characteristics.Therefore,it is of great academic significance to study the volatility spillover effect among the stock markets of China,Brazil and Russia.In this paper,the CSI 500 index,Brazilian Ibovespa index,and Russian RTS index are selected as the representatives of the stock markets of China's Mainland,Brazil,and Russia to do empirical research on the volatility spillover effect of the return series from January 1,2014,to December 31,2019,respectively.The results of Granger causality test show that only the changes in the Russian stock market returns are the Granger causes of the changes in the returns of the Chinese stock market and the Brazilian stock market.Based on the BEKK-GARCH model,it is found that the stock markets of China,Brazil,and Russia all embody volatility aggregation and persistence spillovers,and there are bi-directional volatility spillovers between the stock markets of China and Brazil,between the stock markets of China and Russia,and between the stock markets of Brazil and Russia.In this paper,wavelet analysis is introduced into the study,which is combined with the multivariate BEKK-GARCH(1,1)model to decompose the return series of the stock markets of the three countries into signals of different scales,corresponding to modeling the volatility spillover effects under different trading cycles.It is found that the three stock markets still have significant bidirectional spillovers to each other under short-,medium-and long-term time scales.The article suggests that policy makers should pay attention to the spillovers among stock markets,improve the regulatory system,and introduce policies to counteract market volatility.At the same time,from the perspective of investors,it reminds investors not to ignore important information about highly correlated stock markets.
作者
张子健
Zijian Zhang(SILC Business School,Shanghai University,Shanghai 201899,China)
