中国金融市场间波动溢出效应研究

Volatility Spillovers Among the Financial Markets in China

针对已有研究的不足,基于波动溢出视角,采用高频数据,使用有向无环图和基于VAR的DY指数,并构建非对称溢出指数,对中国金融市场间的波动溢出效应的规模、大小、传染路径等进行研究。实证结果发现:横向来看,不同的子市场在金融系统的波动溢出过程中扮演的角色不同;纵向来看,各个金融子市场的波动溢出具有时变性和非对称的特征。本文的研究对于资产优化配置、市场监管政策制定等,具有一定的参考价值和现实意义。

In allusion to the deficiency of existing research,according to the high-frequency data the article bases on Volatility Spillovers,and the asymmetrical volatility is modeled.the article describes the fluctuation spillover effect of the Chinese financial sub-market by constructing the spillover index based on,grasp the risk transmission path,The empirical results show that：（1）In the horizontal direction,the different markets play different roles in the process of fluctuating the financial system.（2）In the vertical direction,the fluctuation spillovers of each financial market show time-varying and asymmetric characteristics.This study is of practical significance to the design of hedging strategies,the optimal allocation of assets and the establishment of market regulatory policies.