| B股与H股及红筹股之间的溢出效应与信息流动 |
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| 引用本文： | 胡新明,唐齐鸣. B股与H股及红筹股之间的溢出效应与信息流动[J]. 管理工程学报, 2008, 22(4): 159-162 |
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| 作者姓名： | 胡新明 唐齐鸣 |
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| 作者单位： | 1. 广东商学院金融学院,广东,广州,510320
2. 华中科技大学经济学院,湖北,武汉,430074 |
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| 基金项目： | 国家社会科学基金 |
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| 摘 要： | 运用向量GARCH-M模型检验了B股与H股及红筹股之间的溢出效应与信息流动.实证结果表明:红筹股对沪深市B股、H股对沪市B股的收益和波动溢出效应均显著存在,而反向的溢出效应均不显著,表明信息是从红筹股向沪深市B股、从H股向沪市B股单向流动的;深市B股与H股之间相互的收益溢出效应均存在,而波动溢出效应均不存在,信息在H股和深市B股之间的流动情况不明显;在信息流动过程中,红筹股始终处于信息领先地位.
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| 关 键 词： | 向量GARCH-M模型 溢出效应 信息流动 B股 H股 红筹股 |
The Spillover Effects and Information Flow between B Shares and H Shares,Red Chips |
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| HU Xin-ming,TANG Qi-ming. The Spillover Effects and Information Flow between B Shares and H Shares,Red Chips[J]. Journal of Industrial Engineering and Engineering Management, 2008, 22(4): 159-162 |
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| Authors: | HU Xin-ming TANG Qi-ming |
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| Affiliation: | HU Xin-ming~1,TANG Qi-ming~2(1.College of Finance,Guangdong University of Business Studies,Guangzhou 510320,China,2.School of Economics,Huazhong University of Science , Technology,Wuhan 430074,China) |
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| Abstract: | This paper examines spillover effects and information inflow between B Shares and H Shares,red chips in China based on a vector GARCH-M model.Our empirical findings show that there are both significant returns and volatility spillover effects from red chips to B shares,and no such spillovers from B shares to red chips,which indicates that there is an information flow from red chips to B shares separately.We also find returns and volatility spillovers from H shares to Shanghai's B shares and no such effects ... |
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| Keywords: | vector GARCH-M model spillover effects information flow B shares H shares red chips |
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