| 中国创业板和主板市场间溢出效应研究——基于小波多分辨分析 |
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| 引用本文： | 曾志坚,钟紫璇,曾艳.中国创业板和主板市场间溢出效应研究——基于小波多分辨分析[J].财经理论与实践,2012,33(6):43-47. |
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| 作者姓名： | 曾志坚 钟紫璇 曾艳 |
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| 作者单位： | 1. 湖南大学工商管理学院,湖南长沙,410082
2. 湖南财政经济学院工商管理系,湖南长沙,410205 |
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| 基金项目： | 教育部人文社会科学规划青年基金项目，湖南省社会科学基金项目，教育部"长江学者和创新团队发展计划"，湖南省自然科学基金创新群体资助项目 |
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| 摘 要： | 运用小波多分辨分析及VAR-DCC-GARCH模型,研究了中国创业板与主板股票市场间的溢出效应。实证结果表明:从长期趋势看,中国创业板与主板市场之间存在双向的均值和波动溢出;从短期来看,在1～2天的短期交易周期中,两者之间不存在任何溢出效应;随着交易周期的增长,两者间的均值溢出效应是从无到单向,再到双向逐步体现出来的,而波动溢出效应的出现则没有规律性。
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| 关 键 词： | 创业板市场 主板市场 溢出效应 小波多分辨 VAR-DCC-GARCH |
The Spillover Effect between Chinese GEM Market and the Main Board Market Based on Wavelet Multiresolution Analysis |
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| ZENG Zhi-jian,ZHONG Zi-xuan,ZENG Yan.The Spillover Effect between Chinese GEM Market and the Main Board Market Based on Wavelet Multiresolution Analysis[J].The Theory and Practice of Finance and Economics,2012,33(6):43-47. |
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| Authors: | ZENG Zhi-jian ZHONG Zi-xuan ZENG Yan |
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| Institution: | 1.College of Business Administration,Hunan University,Changsha,Hunan 410082,China; 2.Department of Business Administration,Hunan University of Finance and Economics,Changsha,Hunan 410205,China) |
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| Abstract: | The spillover effect between Chinese GEM and the main board market is examined using the wavelet multiresolution analysis and the VAR-DCC-GARCH model. The empirical results show that: from the long term trend, there exist bidirectional mean and volatility spillover between the GEM and main board market. From the short-term trend, in the cycle of 1~2 days, there do not exist any spillover effect between the two markets. With the growth of trading cycle, the mean spillover effect between the two markets is from nothing to one-way, and then to two-way, while the appearance of volatility spillover effect has no regularity. |
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| Keywords: | GEM market Main board market Spillover effect Wavelet multiresolution analysis VAR-DCC-GARCH |
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