中国金融市场的时变信息溢出研究

A Study on Time-varying Information Spillovers in China's Financial Markets

运用向量自回归模型构建溢出指数对股票市场、债券市场、货币市场、外汇市场之间的总溢出、净溢出以及各市场之间的配对溢出效应的时变性进行研究,结果发现：中国金融市场的收益率总溢出和波动总溢出并不是恒定的,而是具有显著的时变特征,其中,收益率总溢出水平在16%～50%的区间变动,波动总溢出在16%～55%的区间变动,国内外重要金融政策以及重要金融事件会显著影响金融市场的信息溢出大小。金融市场间的净溢出和配对溢出研究进一步表明,净波动溢出并不是保持同方向不变,而是随着市场冲击的变化表现出正的净溢出和负的净溢出两种不同的方向性溢出。

This paper utilizes vector autoregressive model to construct spillover index to study dynamic relationships,including total spillover effects,net spillover effects and pairwise spillover effects,across stock,bond,foreign exchange and money markets. It has found that the return and volatility spillovers between financial markets are not constant but illustrate significant time- varying characteristics. The total spillovers of returns are between 16% and 50%,whereas those of volatility fluctuate between 16% and55%. Important foreign and domestic financial policies and events affect the spillovers significantly. Furthermore,the net spillovers and pairwise spillovers among financial markets demonstrate that the net spillovers do not keep the same directions,but display two categories of directional spillovers- positive and negative net spillovers- with the changes of market shock.