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以向量GARCH模型为基础,研究了国际证券市场中上海A股市场、香港市场和美国市场的均值溢出效应和波动溢出效应,并且给出了中国证券市场发展的政策建议。研究结果表明,三个市场均不存在单向的均值溢出效应,上海A股市场和美国证券市场存在双向的波动溢出效应。上海A股市场和美国证券市场存在波动溢出效应,反映了中国资本市场和美国资本市场融合程度的加强。
Based on vector GARCH model, we study the mean spillover effect and volatility spillover effect in Shanghai A-share market, Hong Kong market and the U.S. market in international stock markets, and give some policy suggestions on the development of China’s securities market. The results show that there is no one-way mean spillover effect in the three markets, and there is a two-way volatility spillover effect between the Shanghai A-share market and the U.S. stock market. The volatility spillover effect between the Shanghai A-share market and the U.S. stock market reflects the enhancement of the integration between the Chinese capital market and the U.S. capital market.