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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

发表时间:2017-01-15  浏览量:2001  下载量:394
全部作者: 陈晓蒙,雷钦礼,吴佳林
作者单位: 暨南大学经济学院;华北水利水电大学数学与信息科学学院
摘 要: 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以及双向非对称效应,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。
关 键 词: 金融数学;波动溢出;非对称效应;BEKK-GARCH模型;差异性
Title: Research on the information spillover effect of stock markets in China, India, US: based on ternary asymmetric VAR-BEKK-GARCH model
Author: CHEN Xiaomeng, LEI Qinli, WU Jialin
Organization: School of Economics, Jinan University; School of Mathematics and Information Science, North China University of Water Resource and Electric Power
Abstract: The ternary asymmetric VAR-BEKK-GARCH model is used to test the information spillover effect of stock markets in China, India, China, the United States. The results showed that: before the financial crisis, there are significant one-way volatility spillovers and asymmetric effect between China and the United States, but existence of such relations between China and India is not existed. Meanwhile, there are no revenue spillover effect among China, the United States and India. After the financial crisis, there are a two-way volatility spillover and unidirectional asymmetric effect between China and the United States and the US stock market’s influence on Chinese stock market declines. The one-way volatility spillover effects and two-way asymmetric effect between China and India exist while the US stock market for the Indian stock market also has information spillovers. The three markets have feedback and indirect effects.
Key words: financial mathematics; volatility spillover; asymmetric effect; BEKK-GARCH model; difference
发表期数: 2017年1月第1期
引用格式: 陈晓蒙,雷钦礼,吴佳林. 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[J]. 中国科技论文在线精品论文,2017,10(1):18-27.
 
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