| 人民币汇率与股票价格波动溢出效应的MV-GARCH分析 |
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| 引用本文： | 景海霞,寇明婷,史润玲.人民币汇率与股票价格波动溢出效应的MV-GARCH分析[J].雁北师范学院学报,2013(4):9-12. |
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| 作者姓名： | 景海霞 寇明婷 史润玲 |
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| 作者单位： | 山西大同大学商学院,山西大同037009 |
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| 基金项目： | 教育部人文社会科学研究项目[13YJC790062];山西大同大学博士科研启动项目[2012-B-29] |
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| 摘 要： | 基于二元VAR-BEKK-MVGARCH模型,以人民币兑美元汇率（RMB/USD）与上证综合指数每日收盘价为样本,分析了汇率制度改革后人民币汇率与A-股市场价格的波动溢出效应。我们的研究表明,汇率制度改革后,人民币兑美元汇率（RMB/USD）与中国A股市场股票价格指数之间的一阶价格溢出效应表现不明显,但存在显著的双向高阶波动溢出效应,且汇率市场对股票市场表现出更为强烈波动溢出效应。
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| 关 键 词： | 人民币汇率 证券市场 波动溢出效应 |
The Study on the Volatility Spillover Effect between RMB Exchange Rate and Stock Price Based on the MV-GARCH Model |
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| JING Hai-xia,KOU Ming-ting,SHI Run-ling.The Study on the Volatility Spillover Effect between RMB Exchange Rate and Stock Price Based on the MV-GARCH Model[J].Journal of Yanbei Teachers College,2013(4):9-12. |
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| Authors: | JING Hai-xia KOU Ming-ting SHI Run-ling |
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| Institution: | (School of Business,Shanxi Datong University,Datong Shanxi,037009) |
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| Abstract: | This paper investigates the impact of the spillover effect between RMB exchange rate and stock price after exchange rates reform in virtue of the VAR-BEKK-MVGARCH model.Our empirical analysis is based on the data from Shanghai A-share market and RMB exchange rates（RMB against US dollar RMB/USD）.We have found that there are no price spillover effects between RMB exchange rate against US dollar and stock price,but a bi-directional volatility spillovers effect between RMB/USD and stock price,and the volatility spillover effect of RMB exchange rate to stock price is more significant than stock price to RMB exchange rate. |
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| Keywords: | RMB exchange rate stock market volatility spillover effect |
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