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论文以1991年1月~2014年12月的周数据为基础,采用三因子AR-EGARCH模型研究了美国、日本等发达资本市场对我国股票市场(上证)收益与波动的外溢效应。结果表明:来自美国的国际因子及来自日本的区域因子对我国股市平均收益及波动率存在显著的外溢效应,且国际因子对我国平均收益率的溢出效应大于区域因子对我国平均收益率的溢出效应,而区域因子对我国股市波动率的溢出效应大于国际因子的溢出效应;美国、日本及我国股市波动率对1个单位的正负标准冲击会产生非对称性影响,即利空冲击比利好冲击对股市波动的影响更强。这就要求我国货币当局及相关金融监管部门密切关注美国、日本等国家的金融与经济发展指标,深入挖掘对我国股市具有显著影响的国际与区域经济因子,加快构建包括国际与区域因子在内的宏观经济波动预警体系及国际金融风险传递免疫体系。
Based on the weekly data from January 1991 to December 2014, the paper studies the spillover effect of the developed capital markets such as the United States and Japan on the earnings and volatility of China’s stock market (SSE) using the three-factor AR-EGARCH model. The results show that the international factors from the United States and the regional factors from Japan have a significant spillover effect on the average return and volatility of China’s stock market. The spillover effect of international factors on China’s average yield is greater than the spillover effect of regional factors on China’s average return rate , While the spillover effect of regional factors on the volatility of China’s stock market is greater than the spillover effect of international factors. The volatility of the stock markets in the United States, Japan and China has asymmetric impact on the standard positive and negative impact of one unit, that is, the negative impact is better than the positive impact The impact of stock market volatility is stronger. This requires our monetary authorities and relevant financial regulatory authorities to pay close attention to the financial and economic development indicators of the United States, Japan and other countries, tap the international and regional economic factors that have a significant impact on the stock market in our country, and speed up the construction of international and regional factors Macroeconomic Fluctuation Early Warning System and International Financial Risk Transmission Immunization System.