| 我国股市与汇市间信息传导的实证研究 |
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| 引用本文： | 罗松,严敏.我国股市与汇市间信息传导的实证研究[J].系统工程,2010(12). |
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| 作者姓名： | 罗松 严敏 |
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| 作者单位： | 中国人民大学财政金融学院;中国邮政储蓄银行; |
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| 摘 要： | 运用Granger因果检验方法和DCC-MGARCH模型,对我国沪深300指数、上证综合指数以及深证综合指数与人民币对美元汇率之间的联动关系进行了实证研究,与国内很多研究文献所得结论不同,研究发现股价与汇率之间均不存在长期的稳定协整关系,只存在外汇市场对股票市场的短期单向价格引导关系和单向波动溢出效应。
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| 关 键 词： | 股价 汇率 信息传导 DCC-MGARCH |
Empirical Evidence of Information Spillover between Stock Market and Foreign Exchange Market in China |
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| LUO Song,YAN Min.Empirical Evidence of Information Spillover between Stock Market and Foreign Exchange Market in China[J].Systems Engineering,2010(12). |
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| Authors: | LUO Song YAN Min |
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| Institution: | LUO Song1,YAN Min2(1.School of Finance,Renmin University of China,Beijing 100872,China,2.Postal Savings Bank of China,Beijing 100808,China) |
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| Abstract: | Based on the Granger causality tests and the DCC-MGARCH model,this paper empirically investigates the dynamic relationship between stock market and foreign exchange market in China.In contrast with most related domestic findings,our findings indicate that that there are no long-run equilibrium relationship between stock prices and exchange rates.As for price/volatility spillover effect,the evidence suggests that changes in exchange rates have short-run impact on future changes of stock prices and not vice v... |
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| Keywords: | Stock Price Exchange Rate Spillover Effect DCC-MGARCH |
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