证券市场行业间的信息流传导效应——基于沪市A股市场MGARCH波动模型的实证研究

Transmission of Information Flows within and Across Stock Markets——Empirical Analysis on MGARCH Volatility Model in Shanghai A Stock Market

同一时点证券市场行业间的收益率波动传导会对投资者的证券组合产生重要影响,因此,本文选用1997年至2008年沪市A股行业的日收益率数据,利用MGARCH模型对中国证券市场行业指数间的波动传导关系进行了实证研究。研究结果显示:股票市场行业间日收盘指数收益率波动存在显著的行业传导效应,而且传导可能会存在持续性。投资者可以依据股票市场行业间的波动规律,实施短期的行业间套期保值策略。

Volatility transmission among sectors＇ indexes can play an important role in investors＇ portfolio. Therefore, the paper applies multivariate GARCH model to simultaneously estimate the mean and conditional variance by using daily sectors＇ indexes returns from 1997 to 2008. The results show that there exists volatility transmission in sectors＇ indexes returns in shanghai stock market. These findings provide us with some ideas that investors can make an short-term strategy of hedging in term of volatility transmission among sectors of stock market.