中、印、美股市信息溢出效应研究-基于三元非对称VAR-BEKK-GARCH模型
Research on the Information Spillover Effect of Stock Markets in China, India, US -Based on Ternary Asymmetric VAR-BEKK-GARCH Model
运用三元非对称VAR-BEKK-GARCH模型检验中、印、美股市之间的信息溢出效应,结果表明:金融危机前,中美之间有明显的单向的波动溢出效应和非对称效应,而中印之间却不存在这种关系,同时中、美、印之间不存在相互的收益溢出效应;金融危机之后,中美之间存在双向波动溢出效应和单向非对称效应以及收益溢出效应,美国股市对中国股市的影响力逐渐下降,中印之间存在单向波动和收益溢出效应和双向非对称效应,同时美国股市对印度股市也有信息溢出效应,三个市场之间存在反馈效应和间接效应。
the ternary asymmetric VAR-BEKK-GARCH model is used to test the information spillover effect of stock markets among India, Chinese , US. The results shows that: before the financial crisis, there are significant volatility spillovers and asymmetric effect between China and United States. Such relations between China and India does not exist; after the financial crisis, there is a two-way volatility spillover and unidirectional asymmetric effect between China and United States and the US stock market's influence on China's stock market declines. The one-way volatility spillover effects and two-way asymmetric effect between China and India exists while the US stock market for the Indian stock market also has information spillovers. The three markets have feedback and indirect effects. This shows that the impact of the emerging economies for China's financial markets has become increasingly important.
雷钦礼、吴佳林、陈晓蒙
财政、金融世界经济
波动溢出非对称效应VAR-BEKK-GARCH模型差异性
Volatility spilloverAsymmetric effectVAR-BEKK-GARCH modeldifference
雷钦礼,吴佳林,陈晓蒙.中、印、美股市信息溢出效应研究-基于三元非对称VAR-BEKK-GARCH模型[EB/OL].(2016-09-20)[2025-08-23].http://www.paper.edu.cn/releasepaper/content/201609-167.点此复制
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