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随着沪港通的深入推进,市场对两地股市的波动特征和联动效应愈发关注。当波动率具有结构转换特征时,波动的高度持续性就是假象。本文将条件方差分解为平滑转变的长期波动和平稳的短期波动,创新性地应用该方法对沪港股市2004-2014年的收益率序列进行实证分析。结果表明:长期波动都具有抛物线型的平滑特征,港市对外部冲击的敏感性更高;短期波动都具有平稳的GARCH(1,1)特征,格兰杰因果性检验表明,沪市短期波动是港市的格兰杰原因,反之不成立,两市存在单向的因果关系。.
With the further advance of Shanghai-Hong Kong Stock Connect, the market is paying more attention to the fluctuation characteristics and the linkage effect between the two stock markets. When the volatility has the characteristics of structural transformation, the high persistence of volatility is the illusion. In this paper, the conditional variance is decomposed into the long-term fluctuations of smooth transition and the steady short-term fluctuations. The method is applied empirically to analyze the yield series of Shanghai and Hong Kong stock markets from 2004 to 2014. The results show that both the long-term fluctuations and the short-term fluctuations have a smooth GARCH (1,1) feature. The Granger causality test shows that the short-term fluctuations of the Shanghai stock market Granger reason is the port city, on the contrary not established, there is one-way causal relationship between the two cities. .