摘要本文选取路透C R B商品价格指数、M SC I新兴市场指数、M SC I发达市场指数的日度数据为样本,运用二元BEK K-G A R C H模型,研究了大宗商品价格分别与新兴市场、发达市场这两个股市指数间的波动溢出效应。实证结果显示新兴市场指数收益率与大宗商品价格变化率之间存在双向波动溢出效应,发达市场指数收益率与大宗商品价格变化率之间只有前者对后者单向的波动溢出。
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