股市波动溢出效应及其影响因素分析

Volatility Spillovers across Stock Markets and Its Influencing Factors

为刻画金融市场间时变的波动溢出效应,本文提出了一种基于时变参数向量自回归(TVP-VAR)模型计算时变波动溢出指数的方法,并对1993—2016年间国际8个主要股市的时变波动溢出效应进行了测算。结果表明,国际股市间的总波动溢出效应呈上升趋势,尤其是在金融震荡时期上升显著。进一步地,利用一些宏观经济指标和金融指标对其进行影响因素分析。研究发现,国际股市间的总波动溢出效应可以较好地由经济基本面和市场传染进行解释,并且与美国货币政策调整以及政策不确定性有一定的关联。

To measure the time-varying volatility spillover effect across financial markets,this paper proposes a new method based on the time-varying parameter vector autoregressive（TVP-VAR）model.In our empirical application,we estimate the time-varying volatility spillover effects across eight international stock markets from 1993 to 2016.The results show that volatility spillover effects of these stock markets tend to be up,and increase significantly during the financial crisis.Furthermore,we use some macroeconomic and financial indicators to analyze the causes of volatility spillover effects.It is found that economic fundamentals and market contagions are both important factors,and we found that the volatility spillover effects are also affected by the changes of US monetary policy and its uncertainties.