国际商品市场与股票市场的溢出效应——基于中美数据的VAR-MGARCH分析

Spillover Effect between International Commodity Market and Stock Market:VAR-MGARCH Analysis Based on Data of China and USA

基于VAR-MGARCH-BEKK模型,对国际商品市场与中美股票市场之间的均值与波动溢出效应进行了经验分析。结果表明,国际商品市场与中美股票市场之间存在着相互的均值溢出效应,国际商品市场对中美股票市场存在波动溢出效应,同时,美国股票市场对国际商品市场存在波动溢出效应;另外,中国应该尽快编制科学合理并适合自身国情的商品指数。

An empirical research on the mean and volatility spillover effect between international commodity market and stock markets of China and USA has been made based on VAR-MGARCH-BEKK model.The results reveal that international commodity market and stock markets of China and USA have interactive mean spillover effect,international commodity market has volatility spillover effect on stock markets of China and USA,while stock market of USA has volatility spillover effect on international commodity market.Additionally,China should work out a scientific,reasonable and suitable commodity index as soon as possible.