中国利率与股市间波动溢出效应的实证研究

An Empirical Study on the Volatility Spillovers Effect between Chinese Interest Rate and Stock Markets

采用多变量EGARCH模型分别对中国利率与沪深股市间的波动溢出效应进行的实证研究表明,股票收益率对利率收益率有着显著的短期动态影响;利率与沪深股市间存在着显著的双向波动溢出,除了利率对深圳市场的方向外,其他方向的波动溢出均存在着不对称性。

With the Multivariate EGARCH model, an empirical study has been made on the volatility spillovers effect between Chinese interest rate and Shanghai/Shenzhen stock markets. The result shows that there is a significant dynamic effect from Shanghai and Shenzhen stock return to the yield of interest rate. It also shows that there are significant reciprocal volatility spillovers between in- terest rate and shanghai or Shenzhen stock markets, and the volatility spillovers are asymmetry except the direction of interest rate to Shenzhen stock market.