中美股市杠杆效应与波动溢出效应——基于GARCH模型的实证分析

本文基于极大似然函数值准则和赤池信息准则,从众多非对称GARCH模型中选择最优模型来研究中美股市杠杆效应和波动溢出效应。结果表明:沪市和深市都表现出显著的杠杆效应,与美国股市相比沪市和深市杠杆效应较弱;沪市和深市之间存在显著的双向波动溢出效应,且沪市对深市的波动溢出效应更显著;美国股市与中国股市之间不存在显著的波动溢出效应。

The Study of Leverage and Volatility Spillover Effects in Chinese and U.S.Stock Market——An Empirical Analysis Based on GARCH Model

The paper chooses the best model from several asymmetric GARCH model to study leverage and volatility spillover effects in Chinese and U.S.stock market based on maximum likelihood function value criterion and Akaike information criterion.The results show that Shanghai and Shenzhen stock market have a significant leverage effect,and the leverage effect is weaker than the U.S.stock market;There are significant two-way volatility spillover effects between Shanghai and Shenzhen stock market,and the Shanghai stock market has a more significant spillover effect on Shenzhen stock market;There are no significant volatility spillover effects between China’s stock market and U.S.stock market.