交叉上市与中美股市波动溢出效应

Cross-listing and Volatility Spillover in China and U.S.

为分析交叉上市与波动溢出效应,选取11家同时在中国与美国交叉上市的公司,参照标准普尔500指数与上证综合指数的编制方法,分别编制A股指数与N股指数,然后将编制出的A股指数与N股指数取对数收益后,运用BEKK-GARCH模型来估计波动溢出效应。结果表明存在双向的波动溢出效应,即不仅在中国市场上交易的公司股价对在美国市场的股价有影响,反过来,在美国市场上交易的公司股价对在中国市场上交易的股价也有影响,但在中国市场上交易的股价对美国市场上交易的公司股价的影响更大。

In order to study the cross-listing and volatility spillover, this paper selects 11 companies which is cross-listed at the same time in China and the U.S., compiles index to the listed companies in the U.S. and China basing on the S＆P500 and the Shanghai Composite index methodology. After compiling the A share index and N Index logarithmic returns, this paper use of BEKK-GARCH model to estimate the volatility spillover effect. The results show that there are bi- directional volatility spillover effects. That is not only in the Chinese market trading shares on the stock market impact in the United States, in turn, traded in the U.S. market shares in Chinese stock market transactions also have an impact, but in the Chinese market has a greater impact.