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通过VECM模型和BEKK模型对人民币汇率与沪市之间的信息传递模式以及人民币汇率收益与沪市收益之间的均值溢出效应和波动溢出效应进行分析,发现在沪市大幅下跌前,存在单向的由汇市到沪市的均值溢出效应,在沪市大幅下跌后,存在单向的由沪市到汇市的均值溢出效应。而沪市大幅下跌前后汇市和沪市间则均存在着双向的波动溢出效应,但汇市对沪市的波动溢出远大于沪市对汇市的波动溢出。
Through the VECM model and the BEKK model, this paper analyzes the information transfer mode between RMB exchange rate and Shanghai stock market and the mean spillover effect and volatility spillover effect between RMB exchange rate returns and Shanghai stock returns. It is found that before the sharp drop in Shanghai stock market, The mean spillover effect from the currency market to the Shanghai stock market, after the sharp drop in Shanghai stock market, there is a one-way mean spillover effect from Shanghai stock exchange to foreign exchange market. However, before and after the Shanghai stock market plunged, two-way volatility spillovers occurred between the foreign exchange market and the Shanghai stock exchange. However, the volatility of the foreign exchange market in Shanghai was far greater than that of the Shanghai stock market.