金融市场流动性波动溢出效应的实证分析

Volatility Spillover Effect of Financial Market Liquidity

金融资产流动性是影响其收益率的重要因素。本文在设计债券市场连续的综合流动性指标和股票市场波动调整的流动性指标的基础上,利用允许均值系统方程间互相关的AVAR-TVGARCH模型,并结合Wald检验和LR检验对于股票、债券和人民币汇率市场间的流动性波动溢出效应进行检验。研究发现:三个市场间存在较为显著的流动性波动溢出效应。回归系数显示市场流动性间的波动溢出效应较小。同时,本文发现外汇和股票市场流动性序列间的条件协方差都存在明显的时变特征和程度不一的聚类现象。

Liquidity is an important determinant of an asset＇ s rate of return. By designing liquidity measure of bond market and stoek market, this paper utilizes the AVAR-TVGARCH model with LR ＆ Wald test to investigate the volatility spillover effect of liquidity among the three financial markets, namely bond, stock and foreign exchange markets. We find a strong evidence of volatility spillover effect among those three markets. The spillover effect is significant for stock and foreign exchange markets, while less significant for bond market. We also observe significant time-variance and volatility-clustering effect in stock and foreign exchange markets＇ liquidity series.