| 沪港股市的波动溢出和时变相关性研究 |
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| 引用本文： | 龚朴,李梦玄.沪港股市的波动溢出和时变相关性研究[J].管理学报,2008,5(1):96-100. |
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| 作者姓名： | 龚朴 李梦玄 |
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| 作者单位： | 1. 华中科技大学管理学院
2. 华中科技大学管理学院;中南财经政法大学金融学院 |
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| 摘 要： | 采用基于加权CCF的方差Granger因果检验方法,分析了上证指数、恒生指数收益序列的波动溢出效应,并以此信息为依据构建BEKK模型对两序列间的时变相关性进行了实证,结果显示两股市之间的波动溢出并不显著,一股市的冲击对另一股市的波动产生的传导性影响不明显;两股市的联系和联动性相对较弱,但有逐渐增大的趋势。
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| 关 键 词： | 沪市 港市 波动溢出 时变相关 |
| 文章编号： | 1672-884X(2008)01-0096-05 |
| 修稿时间： | 2007年5月15日 |
Fluctuated Spillovers between Shanghai and Hong Kong Stock Marketsand Their Time-varying Correlation |
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| GONG Pu,LI Mengxuan.Fluctuated Spillovers between Shanghai and Hong Kong Stock Marketsand Their Time-varying Correlation[J].Chinese JOurnal of Management,2008,5(1):96-100. |
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| Authors: | GONG Pu LI Mengxuan |
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| Abstract: | Weighted cross correlation function-based causality-in-variance test was used to analyze the fluctuated spillovers between Shanghai composite index and Hang seng index,and BEKK model was built to test the time-varying correlation of the two time series.The results show that the fluctuated spillover between these two stock markets is not obvious and their correlation is small,but there is a trend toward the increase for the two tome series. |
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| Keywords: | Shanghai stock market Hong Kong stock market volatility spillover time-varying correlation |
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