A股与亚洲主要股市的波动溢出效应探讨

随着中国资本市场开放步伐的加快，A股与亚洲几个主要股市之间的联动性和风险传导效应进一步增强，而波动溢出效应是不同股市间风险传导路径和方向的重要指标。通过运用二元GARCH—BEKK（1，1）模型对A股与中国香港、中国台湾、韩国、日本、印度、新加坡等亚洲主要股票市场的波动溢出效应进行实证研究表明：A股与中国香港港、印度股市呈现双向的波动溢出效应，与日本股市呈现单向波动溢出效应，但与中国台湾、韩国、新加坡三地股市不呈现波动溢出效应。文章力图揭示A股与亚洲几个主要股市的风险传导效应，以期为市场监管部门和投资者提供风险防范等相关对策建议。

The Research of Volatility Spillovers Effect between A shares and Other Major Asian Stock Markets

With the pace of China＇s capital market liberalization accelerated, the risk of transmission and link- age effect between A shares and other several major stock markets in Asia increases, and the volatility spillover effect is the important indicator of risk conduction path and direction among different stock markets. Through the use of binary GARCH - BEKK （ 1,1 ） model, we do the empirical research about the volatility spillover effect be- tween A shares and stock markets of Hong Kong（China） , Taiwan（ China）, Korea, Japan, India, Singapore and other major Asian stock markets. This paper indicates the result of the empirical research and tries to reveal the risk conduction effect so as to provide risk prevention and other related countermeasures for the market regulators and investors.