外汇市场与股票市场间波动溢出效应——基于汇改后数据的小波多分辨分析

Volatility Spillover Effects between Foreign Exchange Market and Stock Market:An Wavelet Multi-resolution Analysis using Data after Exchange Rate Reform

随着金融全球化与自由化进程的加快以及人民币汇率体制改革和中国企业股权分置改革的深化,外汇市场与股票市场间的信息流动和风险传递进一步加强。通过小波多分辨分析能够从不同尺度研究外汇市场与股票市场间的波动溢出效应,以达到从时频2个角度同时进行研究的目的。实证结果表明,人民币汇率波动与股票价格波动的低频信号具有协整关系。其独到之处在于发现不同交易周期上波动溢出效应存在非一致性:短期主要表现为股票市场向外汇市场的单向波动溢出;而随着交易周期的加长,则表现为双向波动溢出效应。

With the acceleration of globalization and liberalization in finance and the deepening of RMB exchange rate reform and Chinese enterprise splivshare structure reform, it further reinforces the information flow and risk transmission between foreign exchange market and stock market. This paper studies volatility spillover effects be tween these two markets by wavelet multi-resolution analysis from different scales, in order to investigate the effects from the viewpoints of time and frequency simultaneously. The empirical results show that low-frequency signals have cointegration relationship between RMB exchange rate fluctuation and stock price fluctuation. The original finding is that volatility spillover effects in different cycles have no consistency. There is unidirectional vol- atility spillover from stock market to foreign exchange market in the short-term. However, there exist bidirectional volatility spillover effects with the trade cycle increasing.