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中国管理科学

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中国股市与周边股市波动风险传导效应研究

陈王1, 魏宇1, 淳伟德2, 侯县平1   

  1. 1. 西南交通大学经济管理学院, 四川成都 610031;
    2. 成都理工大学商学院, 四川成都 610059
  • 收稿日期:2010-05-27 修回日期:2011-08-29 出版日期:2011-12-30 发布日期:2011-12-30
  • 作者简介:陈王(1985- ),男(汉族),四川仪陇人,西南交通大学经济管理学院博士生,研究方向:管理科学与工程。
  • 基金资助:
    国家自然科学基金资助项目(70771097,71071131,71090402,71171025);教育部新世纪优秀人才支持计划(NCET-08-0826);教育部创新团队发展计划(PCSIRT0860);教育部人文社会科学研究青年基金(10YJCZH086);中央高校基本科研业务费专项资金资助项目(SWJTU09ZT32,SWJTU09CX088,SWJ-TU11CX137)

Study on Volatility Risk Contagion Effects between China’s Stock Market and Circumferential Stock Markets

CHEN Wang1, WEI Yu1, CHUN Wei-de2, HOU Xian-ping1   

  1. 1. School of Economics & Management, Southwest Jiaotong University, Chengdu 610031, China;
    2. Business School, Chengdu University of Technology, Chengdu 610059, China
  • Received:2010-05-27 Revised:2011-08-29 Online:2011-12-30 Published:2011-12-30

PDF (PC)

2427

被引次数

30

摘要： 由于金融资产收益的条件波动率不仅是金融市场风险度量的重要指标,而且呈现出明显的杠杆效应。因此,本文运用能够刻画波动率杠杆效应的LGARCH(Leverage GARCH)模型对金融市场条件波动率进行建模分析,进而运用Granger-Causality检验分析了中国股市与周边股市波动风险的传导效应。实证结果表明,在整个样本区间,上海股市与周边重要股市的联系比较微弱,仅与香港股市存在一定的风险传导关系,而与东京、新加坡股市却不存在传导关系。然而,在我国股市对境外合格机构投资者(Qualified Foreign Institutional Investors,QFII)开放后,中国股市与周边股市的波动风险传导关系明显异于对QFII开放之前和整个样本期的风险传导关系,上海股市与香港、东京、新加坡股市间的波动风险传导关系均显著增强。

关键词: 股市, 波动风险, LGARCH, Granger-Causality, 风险传导

Abstract: The conditional volatility of financial asset returns is an important measurement of market risk, and it often shows an asymmetric leverage effect.So in this paper,using LGARCH(Leverage GARCH) model to estimate the volatility of stock markets,we analyze the contagion effects of volatility risk between China's stock market and its circumferential stock markets by Granger-causality test method.The empirical results show a weak risk link between Shanghai stock market and the others in the entire sample period.Hongkong stock market affects Shanghai stock market at the 5% significance level while evidence of such contagion effect doesn't exist between Shanghai and Tokyo,Singapore stock markets.However,after China's stock market are open for QFII(Qualified Foreign Institutional Investors),contagion effects of volatility risk are found to be much more significant between China's stock market and its circumferential stock markets.

Key words: stock market, volatility risk, LGARCH, Granger-causality, risk contagion

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