摘要
本文构建了基于t分布的多变量BEKK-GARCH模型,利用中证100指数、中证200指数、中证500指数代表不同市值的股票群对中国股市进行了实证分析。结果表明,中证200指数和中证500指数对中证100指数有价格溢出效应,而中证100指数对中证200指数与中证500指数却没有溢出效应。中证200指数和中证500指数间没有价格溢出。中证100指数与中证200指数间当期有波动溢出,但是没有持续性;中证100指数对中证500指数有波动溢出,但是中证500指数对中证100指数却没有波动溢出效应;中证200指数和中证500指数间有波动溢出效应。
The thesis construct a multivariable model based on t distribution,it use stock groups in different market capitalization which are represented by Chinese securities 100 index,Chinese securities 200 index and Chinese securities 500 index to analyse the Chinese stock market.The result shows that Chinese securities 200 index and Chinese securities 500 index have a price spillover effect to Chinese securities 100 index unidirectionally.Chinese securities 200 index and Chinese securities 500 index have not spillover effect to each other.Chinese securities 100 index and Chinese securities 200 index have volatility spillover effect to each other but no continuity;a volatility spillover effect is running only unidirectional from Chinese securities 100 index to Chinese securities 500 index;Chinese securities 200 index and Chinese securities 500 index have a bidirectional volatility spillover effect to each other.
出处
《上海金融学院学报》
2011年第6期23-31,共9页
Journal of Shanhai Finance University
基金
上海市重点学科建设项目资助(S30501)
