| 利率与股价之间的价格溢出效应与波动溢出效应 |
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| 引用本文： | 严武,金涛.利率与股价之间的价格溢出效应与波动溢出效应[J].广东金融学院学报,2010,25(1). |
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| 作者姓名： | 严武 金涛 |
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| 作者单位： | 1. 江西财经大学金融与统计学院,江西,南昌,330013
2. 桂林电子科技大学应用科技学院,广西,桂林,541002 |
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| 摘 要： | 基于具有外生变量的二元VAR-MGARCH模型对中国货币市场利率和股价之间的关联进行了理论分析和实证研究。结果表明,利率和股价之间基本不存在价格溢出效应;货币市场利率和股价序列均表现出时变方差的特征和波动的持久性特征,货币市场和股市之间存在双向波动溢出效应;货币供给的正向冲击对利率的影响是正向的。
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| 关 键 词： | 利率 股票价格 溢出效应 |
Price Spillovers Effects and Volatility Spillovers Effects between the Interest Rate and Stock Prices |
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| Yan Wu,Jin Tao.Price Spillovers Effects and Volatility Spillovers Effects between the Interest Rate and Stock Prices[J].Journal of Guangdong University of Finance,2010,25(1). |
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| Authors: | Yan Wu Jin Tao |
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| Institution: | 1. The School of Finance;Jiangxi University of Finance and Economics;Nanchang 330013;China;2. Applied Science and Technology college;Guilin University of Electronic Technology;Guilin 541002;China |
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| Abstract: | Based on two variables VAR-GARCH model with exogenous variables, this paper theoretically analyzes and empirically examines the dynamic relationship between interest rates and stock prices in China's money market. The study shows that basically there are no evident price spillover effects between the two variables; but as far as volatility is concerned, there are significant time-varying variance characteristic and volatility persistence in two markets, and there are bi-directional volatility spillovers eff... |
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| Keywords: | interest rate stock price VAR-MGARCH spillovers effects |
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