中国汇市与股市的信息传递关系——基于股市“牛熊”特征的比较研究

The Relationship of Information Transmission between China's Stock Market and Foreign Exchange Marker——On the Comparison study for the Characteristics of "the Bull Market" and "the Bear Market"

关注金融市场间的风险传染性对于防范金融风险、提高监管效率有着重要的意义。运用多元GARCH模型研究汇改后(2005年7月22日到2009年8月31日)中国股票市场与外汇市场的信息传导过程,其结果表明汇市的波动风险会传染给股市,而股市的波动则不会对汇市产生明显影响,股市与汇市之间的溢出效应是非对称的。分阶段研究显示,在牛市阶段,股市对汇市存在微弱的信息溢出效应;熊市阶段,只存在单向溢出效应,随着时间的推移,汇市对股市的溢出效应逐渐增强。

Concerned about the infectious sufficient importance to the prevention of financial efficiency. With the multiplex GARCH model, risk among financial market is of risks and improvement of regulatory this paper analyzes the process of information transmission between China＇s stock market and foreign exchange market after the reformation of exchange-rate system （from July 22, 2005 to August 31, 2009）. The results show that the risk of exchange rates fluctuations will be transmitted to the stock market, the volatility of the stock market will not produce significant effect on exchange rates. The spillover effects between the stock markets and foreign exchange markets are non-~ymmetrical. Phased studies shows that during the bull market phase, there are slight information overflow between the stock markets and the foreign exchange markets; during the bear market phase, there is only one-way spillover effect; as time goes on, the spillover effect of foreign exchange markets on the stock markets is growing.