沪市A、B股市场间信息传递模式研究

On Investment Information Transition Between A Share and B Share in ShangHai Security market

通过向量自回归模型和多元GARCH模型对沪市A、B股市场之间的信息传递模式和A、B股市场指数收益之间的均值溢出效应和波动溢出效应的分析发现,沪市A、B股市场之间仅存在从A股市场到B股市场的单向信息传递。造成这种信息传递单向性的主要原因在于市场微观结构中的投资者差异和信息不对称。

The paper adopts the VAR and BEKK-MGARCH model to investigate the information transition between A share and B share in ShangHai Security Market. By analyzing the mean spillover effect and volatility spillover effect between A share market and B share market,we find that there exists only the unilateral information transition from A sjare tp B share. We consider that the main reason of this unilateral information transition if the investors' heterogeneity and information asymetry in the microstructure of the security market.