国内股市与汇市的市场不确定性存在跨市场效应吗?——基于异质性交易者模型的理论分析与应用SVAR-H-SV模型的实证检验

Do Uncertainties Overflow among Domestic Equity Market and FX Market——Based on Heterogeneous Traders Model Analysis and Empirical Investigation Using SVAR-H-SV Model

以价格波动率表征市场不确定性,本文通过构造基于异质性交易者模型和运用SVAR-H-SV模型分别从理论和实证角度分析了股市和汇市间市场不确定性的跨市场效应。研究发现:理论上股市和汇市的市场不确定性主要通过基本面渠道和风险规避渠道产生跨市场效应。样本期内,市场不确定性的跨市场效应主要通过交易者的风险规避渠道传导,汇市波动率上升在短期内会显著地推动股价上涨,但股市波动率对汇率的贬值效应并不显著。最后,提出加强资本流动管理和完善汇率形成机制的政策建议。

In this paper,we use behavioral financial model and SVAR-H-SV model to analyze the spillover effects of market uncertainty,provided by price volatility,among domestic equity market and FX market,from theoretical and empirical perspectives,respectively.We find that,market uncertainty among two markets influence the other market principally through fundamental channel and traders' risk aversion channel.We,although,confirm that the risk aversion is the dominant channel by Chinese data,only FX market volatility has significant and positive role on equity return,while vague post of equity market volatility on FX return.At last, we draw some policy implications.