汇改后不同市态下汇市与股市溢出效应的异化

Dissimilation of spillovers effects between the foreign exchange market and the stock market in different market states after the 2005 exchange rate reform

本文按照上证综合指数的走势将2005年7月22日至2008年10月28日的整个样本区间划分为牛市和熊市两个样本子区间,采用样本子区间内的兴业银行人民币综合汇率指数和上证综合指数对数收益率的日数据,通过VAR(p)-BVGJR-GARCH(1,1)-BEKK模型实证分析了2005年汇改后不同市态下中国汇市和股市间溢出效应的异化现象.结果显示,汇改后,牛市和熊市中的中国汇市与股市间溢出效应存在着显著差异.牛市时期,汇市和股市的条件方差对自身负冲击都具有非对称性,两市场间不存在均值溢出效应,但存在显著的双向波动溢出效应,且一个市场的条件方差对另一市场负冲击都存在非对称效应.而熊市时期,只有汇市的条件方差对自身负冲击具有非对称性,汇市股市间只存在股市对汇市单向的均值和波动溢出效应,且一个市场的条件方差对另一市场负冲击均不存在非对称效应.

In this paper,the whole sample period from 22 July 2005 to 28 October 2008 is divided into two periods one is the bull market period and the other is the bear market period.Using the daily log return of the CIB-CNY Composite Index and the Shanghai Composite Index in both the bull and bear markets,we empirically analyze the dissimilation of spillovers effects between the foreign exchange market and the Chinese stock market in different market states after the 2005 exchange rate reform with VAR-BVGJR-GARCH-BEKK model.The empirical results demonstrate that distinct differences exist in the spillovers effects between the foreign exchange market and the Chinese stock market in the bull and bear markets.In the bull market,there is the response of the market to its own past negative shocks for the two financial markets.At the same time,there are not significantly mutual mean spillovers effects within the two financial markets,whereas there are remarkably bidirectional volatility spillovers effects between the two markets,and there is the response of the one market to the negative shocks of other market.However,in the bear market,we find evidence of unidirectional mean and volatility spillovers from the Chinese stock market to the foreign exchange market,and there is only the response of the market to its own past negative shocks for the foreign exchange market,but there is not the response of the one market to the negative shocks of the other market.