中国股市与汇市的波动溢出效应研究

The Research on the Spillover Effects between China's Stock Market and Foreign Exchange Market

本文以上证综合指数和人民币兑美元名义汇率为指标,运用多元GARCH模型对中国股票市场和外汇市场之间的波动溢出效应进行了实证研究。结果表明:汇率制度改革后,我国股市与汇市存在显著的双向波动溢出效应。汇市对股市表现出较强的波动传导,而股市对汇市的波动传递相对较弱,存在着波动传导的非对称性。对于上述结论,本文主要从国际资本流动和贸易渠道两方面进行了分析。

This paper chooses two indexes of Shanghai composite？ index and the exchange rate of RMB against USD and investigates the spillover effects between China＇s stock market and foreign exchange market through the MGARCH model. The empirical study shows ： there exist significant bidirectional spillover effects between the two markets after the regime of exchange rate. In contrast, the spillover effect from foreign exchange market to stock market is more significant than the one from stock market to foreign exchange market, which shows obvious asymmetry effect. Then we carry out an analysis of results from international capital movement and international trade.