主板、中小板和创业板之间的溢出关系研究——基于流动性调整的VAR-BEKK-GARCH模型

Empirical Research on Spillover Effect Between the Main Board,the Small and Medium-Sized Board and The Growth Enterprise Board Market

以深证成指、中小板指和创业板指为例,研究了我国主板、中小板和创业板之间的流动性和波动溢出效应,发现我国三大板块之间存在系统流动性。在使用BEKK-GARCH模型检验波动溢出效应时,为了排除流动性溢出效应对结果的影响,先使用包含流动性代理变量的VAR模型对收益率进行过滤。之后对没有经过流动性调整的波动溢出效应进行检验,发现流动性调整对结果的影响并不显著,说明我国的流动性溢出与波动溢出效应之间的交叉影响并不明显。

Illustrated by the case of SZSE Component Index,Small and Medium-sized Enterprise（SME） Composite,Growth Enterprise（GE） Index,this paper empirically analyzes the liquidity spillover effect and the volatility spillover effect between the main board market,the SME board market and the GE market.Since there exists systematic liquidity in China stock market,we propose a liquidity adjusted VAR method to obtain the filtered residuals.After adopting the liquidity adjusted VAR-BEKK-GARCH model,we can examine the volatility spillover effect between the target marketexcluding the liquidity spillover effect.Compared to the model without the liquidity adjustment,we find that the liquidity adjusted model doesn＇t have sugnificant effect on the result.It means that the cross effect between the liquidity spliover and the volatility spliover effect is not obvious.