我国外汇市场与股票市场间波动溢出效应实证研究——基于小波多分辨的多元BEKK-GARCH(1,1)模型分析

汇率机制和股权分置改革加强了我国汇市与股市一体化程度, 近期人民币升值压力不断演化和几大经济危机爆发进一步增强了两个市场间的关联性。本文采用小波多分辨分析与多元BEKK-GARCH(1, 1)模型相结合方式研究了国内汇市与股市之间的波动溢出关系, 实证结果不仅表明两大市场存在显著的波动溢出效应, 还发现在不同交易周期下存在着不同的波动溢出效应, 短期来看股市向汇市有单向传递效应, 随周期变长发展为双向溢出, 其中又以汇市向股市波动溢出效应更为显著, 长期则仅有小幅度溢出效应存在于股市向汇市波动传递过程中。

Empirical Research on Spillover Effect between Foreign Exchange Market and Stock Market by Wavelet Multi-resolution Analysis and Multivariate BEKK-GARCH(1,1) Model

The reform of the exchange rate mechanism and the split-share structure strengthen the integration of China's foreign exchange market and the stock market. In the near term, the continuous evolution of the pressure of RMB appreciation and the outbreak of several major economic crisis further enhance the correlation between the two markets. The volatility spillover effect between the domestic foreign exchange market and stock market is investigated using the wavelet multi-resolution analysis and Multivariate BEKK-GARCH(1, 1) model. Empirical results not only show that significant volatility spillover effects between the two markets exist, and the two markets exist different volatility spillover effects with different trading cycle, that is, in the short-term the stock market pass the one-way effect to the foreign exchange market. With the cycle becomes longer it develops to be bidirectional spillover effects, among which the foreign exchange market to the stock market volatility spillover effects are more intense. In the long-term only minor spillover effects are passed to foreign exchange market from the stock market.