日经指数期货与现货市场波动关联性研究

以日收益率作为分析对象,考察了日经225指数期货推出对日本股票市场指数波动性的影响,研究样本期间为1984.01.04～2009.09.30.分别采用EGARCH、TGARCH和DCC-GARCH3种模型对日收益率的条件方差及市场波动性之间的关系进行实证分析,研究结果表明:(1)日经225指数期货在大阪证券交易所(OSE)的推出加剧了股票现货市场的波动性;(2)好坏消息对股指波动率的影响存在非对称性,即利空消息对收益率波动率的影响比利好消息大;(3)日经225指数期货与标的指数之间的波动性具有较强的联动性和传递性,且2007年次贷危机的爆发加强了两者间的相关性.     

基于GARCH模型的沪深两市波动性分析

资产收益率的波动问题是研究的焦点。我国股票市场还很年轻．对其波动性的研究一直是热点，目前研究的方法也很多。许多研究表明我国股票市场的波动性存在着一定的聚类现象．也即会存在条件异方差性。文章引用GARCH模型对中国股市的风险与收益进行实证研究．从对沪、深两市的各自分析着手，确定其关系，再结合两个市场的数据进行相关性的分析。两个市场的波动性有着密切的关系，以及中国股市将不断的有序、有效的发展。     

我国房地产指数收益率波动性的实证研究

本文利用ARCH类模型对我国房地产指数增长率的波动性进行了实证研究。结果表明房地产指数存在着明显的ARCH效应;GARCH模型更能准确地描述房地产指数的波动特征,且其波动性是对称,持续性的;房地产指数不存在明显的杠杆效应。     

棉花期权推出对标的期货波动性的影响研究

以棉花期权上市为契机研究棉花期货市场的波动性。基于ARMA（1,1）、GARCH（1,1）和EGARCH（1,1）3个模型,通过引入单虚拟变量、双虚拟变量和交互项虚拟变量深入研究棉花期权推出对棉花期货市场的波动性影响。研究发现,棉花期货收益率序列存在波动集聚性,同时无论是否发生新冠疫情,棉花期权推出不仅会加剧棉花期货收益率的波动性,还降低了棉花期货市场的整体波动性和非对称现象,疫情的发生在一定程度上也对棉花期货市场的波动性产生正向效应。最后,依据实证结论对中国棉花期权市场和期货市场提出相应的建议。     

基于ARCH模型的中国股票市场波动特性实证分析

本文介绍ARCH模型及其扩展模型，并利用这些模型封我国土证指数和深成指数进行研究。选择股市日收益率为指标分析了我国股票市场的波动性特徵，结果显示我国股票市场收益有明显的尖峰厚尾性、波动集簇性以及波动的信息不对称性等特点。     

金融时序波动性和时变相关性分析

波动性和相关性分析是金融领域定量分析的基础，广泛用于投资组合选择、资产分配以及风险管理之中。本文采用多变量波动性模型来估计波动性和相关性，并就中国沪深股市收益数据加以实证分析，我们得到上证指数和深圳成指的日对数收益存在高度正相关和具有显著的时变相关性，且波动性的估计和预测较之于单变量情形时有较好的改善。     

证券市场波动性影响因素的理论研究

证券市场波动性的影响因素研究长期以来一直是现代金融领域研究的主要问题之一,特别在我国证券市场还不完善的前提下研究就显得更有意义。已经有大量文献对证券市场波动性进行了研究,本文从宏观经济周期、货币供给、交易行为、机构投资者行为几个方面对相关文献进行了综述,对其研究成果进行了简要的回顾。     

人民币汇率制度改革以及汇率波动性研究

自我国1978年改革开放以来,我国汇率制度的改革大体上经过了3个阶段:复汇率制度、单一有管理浮动汇率制度、参考"一篮子货币"有管理浮动汇率制度。本文着重讲述了这三个阶段汇率制度的改革情况,分析了人民币兑美元的汇率走势,并对汇率波动性进行实证研究,然后指出我国汇率制度当前存在的问题,以及针对这些问题提出改革的下一步路径。     

我国权证上市前后标的股票价格波动的实证研究

在国外的证券市场上,权证发行一般会对正股的波动性产生一致性的影响。我国的权证是在股权分置改革这一特殊背景下发行的股改权证,股权分置改革将权证作为对价的支付方式,与权证本身调节标的股票风险的功能之间存在冲突。创设制度的足额保证金要求限制了权证的供给,可能增加标的股票的价格波动。本文以我国权证上市前后的正股收益率为研究对象,运用GARCH-M模型,检验标的股票的收益率,系统性风险和总风险,即收益率的波动性是否有显著差异。实证结果表明,权证降低标的股票价格波动性的作用并不明显。     

机构投资者对股票市场波动水平影响的实证研究——基于GARCH模型

文章利用1997年1月至2009年6月沪深股市日收益率的数据,通过GARCH模型对中国沪深两市股指波动水平与机构投资者的发展状况进行了实证研究.研究发现,中国股市波动性水平偏高,但相比2002年之前,之后的波动性水平明显降低.文章的实证结果表明机构投资者起到了稳定市场、减少非理性市场波动的作用.     

Global commodity prices and global stock market volatility shocks: Effects across countries

We investigate the time-varying dynamics of global stock market volatility, commodity prices, domestic output and consumer prices. We find (i) stock market volatility and commodity price shocks impact each other and the economy in a gradual and endogenous adjustment process, (ii) impact of commodity price shock on global stock market volatility is significant during global financial crises, (iii) effects of global stock market volatility on the US output are amplified by endogenous commodity price responses, (iv) effects of global stock market volatility shocks on the economy are heterogeneous across nations and relatively larger in twelve developed countries, (v) four developing/small economies are more vulnerable to commodity price shocks.     

后金融危机时期中国股市的国际地位——基于非线性视角的股市联动网络分析

后金融危机时期全球股市一体化程度不断提高,全面认识中国股市的国际地位对于揭示国际股市一体化联动中的传导机制,防范和应对国际金融风险冲击具有重要的理论意义和现实价值。文章应用非线性格兰杰因果检验方法和社会网络分析方法,对金砖国家和七国集团股市收益率和波动率的联动关系及其联动网络结构进行分析,揭示出中国在国际股市联动中的地位对传导关系的控制方式,定量分析出事件冲击下中国股市与国际股市之间的交互影响。研究发现：（1）国际股市收益率和波动率联动网络呈现出稳定的非线性联动关系网络结构,受其影响各国股市收益之间存在互惠性,而波动之间则存在传染性;（2）在收益率联动网络中,中国股市的作用和地位已与英国相当,远高于其他金砖国家,正逐渐由"从属地位"转向"中心地位";（3）在波动率联动网络中,中国股市是造成国际股市风险交叉影响的重要"桥梁"。综上而言,当前中国股市表现出"高风险低收益"的市场特征;（4）中国对国际股市的影响具有典型的"地缘特征",将网络中心国家股市的利好传递给地缘临近国家股市;（5）波动率联动网络中初始冲击强度较大的国家,往往是对中国股市持续大规模产生冲击的国家;（6）相比较国际股市调整波动冲击的时间而言,中国股市调整时间较短,这表明后金融危机时代中国致力于股市的一系列改革举措取得了显著成效。     

MACROECONOMIC UNCERTAINTY AND CONDITIONAL STOCK MARKET VOLATILITY IN SOUTH AFRICA*

This paper analyses how systematic risk emanating from the macroeconomy is transmitted into stock market volatility using augmented autoregressive Generalised Autoregressive Conditional Heteroscedastic (AR‐GARCH) and vector autoregression (VAR) models. Also examined is whether the relationship between the two is bidirectional. By imposing dummies for the 1997‐1998 Asian and the 2007‐2009 sub‐prime financial crises, the study further analyses whether financial crises affect the relationship between macroeconomic uncertainty and stock market volatility. The findings show that macroeconomic uncertainty significantly influences stock market volatility. Although volatilities in inflation, the gold price and the oil price seem to play a role, it is found that volatility in short‐term interest rates and exchange rates are the most important, suggesting that South African domestic financial markets are increasingly becoming interdependent. Finally, the results show that financial crises increase volatility in the stock market and in most macroeconomic variables, and, by so doing, strengthen the effects of changes in macroeconomic variables on the stock market.     

The Korean stock market volatility during the currency crisis and the credit crisis

This paper studies the volatility of the Korean stock market during the Asian currency crisis of 1997–1998 and the global credit crisis of 2008–2009. We use a fad model with Markov switching heteroskedasticity, which was first proposed by Kim and Kim (1996). Using the monthly data from January 1980 to October 2009, we find that the volatility of the transitory component of the stock return, or fads, increased during the currency crisis, but did not rise much during the credit crisis. It implies that the stock price fluctuations were not driven by irrational sentiments during the recent global crisis as much as during the former crisis. However, when we consider the dollar value of the Korean stock index in order to estimate the volatility that foreign investors confront, we find that the volatility of the transitory component was raised during the credit crisis as well as during the currency crisis. That is, foreign investors experienced greater volatility than domestic investors in the recent financial market turmoil. This asymmetric volatility that domestic and foreign investors face is one of the characteristics of the credit crisis.For more detailed analysis, the same model was applied to the weekly data from January 2005 to October 2009 and provided the result that the data measured by won–dollar exchange rates were more increased than the raw data. It holds that foreign investors confronted much greater volatility than domestic investors while the stock volatility was relatively lower in the credit crisis state than in the currency crisis state.     

The Effects of Central Banks’ Rate Change Patterns on Financial Market Variables

This study examines whether different patterns of change to the benchmark interest rates of central banks are associated with their contributions to variances in the forecast errors of three financial market variables: the long-term interest rate, the foreign exchange rate, and the stock market index. On average, the central bank’s interest rate accounts for approximately 20% of the variance in each variable. We find that the total range of changes is more important than the frequency of changes. The panel regression shows that the range and frequency of policy rate changes is positively associated with the volatility of long-term interest rates but no association with the volatility of stock prices and exchange rates. These results suggest that small and frequent adjustments of policy rates are desirable for reducing the volatility of interest rates. The panel VAR represents interest rate channel is a more important than exchange rate and stock price channel.     

Lessons from the global financial crisis – the case of Mainland China and Hong Kong

Abstract

The analysis of the intertwined reactions of Hong Kong and Mainland China to the 2008 Global Financial Crisis is considered in this study through the lenses of their stock markets. The GARCH-based analysis of stock market performance over the period December 2011–December 2014 shows that trade and equity sectors were the sectors most affected by the global recession; volatility was prevalent on the Shanghai stock market, whereas volatility persistence characterised the Hong Kong stock market. The results also show that the two stock markets recovered quite quickly. Tight controls applied by the financial authorities helped ensure some stability during the crisis.     

Transmission of Stock Prices and Volatility from the Influential Major Markets on the Emerging Market: A Case Study of the Korean Stock Market

Abstract

This study investigates how the 1997 crisis has changed the Korean market by focusing on price and volatility spillovers from the US, Chinese, and Japanese markets. Using the exponential general autoregressive conditional heteroskedastic (EGARCH) model, new information on stock prices originating in the US market was transmitted to the Korean market for all periods. The price spillover effect from the Japanese market to the Korean market became stronger from the crisis period. Asymmetry in the spillover effect on market volatility was more pronounced in the Korean market after the financial crisis.     

Testing the Validity of the Simultaneous Openness Hypothesis in Nigeria (1990–2015)

Since the seminal paper by Rajan and Zingales in 2003, a plethora of studies have been motivated to establish whether the simultaneous opening of trade and capital borders leads to financial sector development. We test whether the simultaneous openness hypothesis is valid for Nigeria, with a focus on the banking sector and stock market. Using annual data from 1990 to 2015 and an instrumental variable regression estimation technique, we show that the simultaneous increase of trade and financial openness limits banking sector and stock market development. Thus, there is no empirical evidence to validate the simultaneous openness hypothesis in Nigeria. It also shows that trade openness is more beneficial for banking sector and stock market development in Nigeria than financial openness.     

Real financial market exchange rate volatility and portfolio flows

This paper studies the relationship between real financial market exchange rate volatility and US cross-border equity flows. We found strong evidence that causality goes from real financial market exchange rate volatility to equity flows. According to our results, real financial market exchange rate volatility negatively influences purchases of foreign equity. This finding is in line with the portfolio optimization theory. The impact of real financial market exchange rate volatility on sales of foreign equity is also negative. This result can be explained by the theory of behavioral finance which states that investors are reluctant to realize losses of their portfolios. This is why investors decrease sales of assets when riskiness of the assets increases. The impact of real financial market exchange rate on net purchases of foreign equity is positive. It follows from these results that sales of foreign equity decrease more strongly than purchases of foreign equity when riskiness of foreign assets increases.     

Money,Velocity, and the Stock Market

This paper provides a study of the relationship between money growth variability, velocity, and the stock market, using recent advances in financial econometrics. We estimate a trivariate VARMA, GARCH-in-Mean, BEKK model to quantify the effects of financial market and money supply instability. We investigate the robustness of the results to different definitions of money using monthly Divisia indices for the United States from the Center for Financial Stability (CFS). Empirical evidence supports significance of financial market and money supply volatility, and we conclude that Friedman’s money supply volatility hypothesis is alive and well.