金融危机前后中美金融市场溢出效应研究

采用VAR-GARCH-ECCC模型,选取上证综指、标普500以及美元指数3个市场指数,研究金融危机前后两个时期中美金融市场间收益和波动溢出效应.结果表明,与金融危机前相比,危机后存在显著的均值溢出现象,具体表现为上证综指和标普500之间的双向均值溢出和美元指数对上证综指的单向均值溢出.虽然上证综指和标普500以及美元指数之间的波动溢出效应在危机前后均不显著,但其相关性显著加强.

Research of the Spillover Effects Between Sino-US Financial Markets Before and After the Financial Crisis

The VAR-GARCH-ECCC model was employed to research the return and volatility spillover effects between Sino-US financial markets. The Shanghai composite index, S&P 500 index and U.S. dollar index were selected to study the relationship between the two periods-before and after the financial crisis. The results show that, compared with that before the financial crisis, the return spillover effects are significant after the crisis, that is, there are bidirectional return spillover between Shanghai composite index and S&P 500 index, and directional return spillover from U.S. dollar index to Shanghai composite index. Although the volatility spillover effects between three markets are not significant, the constant correlation coefficients are strengthened remarkably.