| 金砖新兴股票市场国际定位及其溢出效应检验 |
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| 引用本文： | 何光辉,杨咸月.金砖新兴股票市场国际定位及其溢出效应检验[J].财经研究,2010(4). |
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| 作者姓名： | 何光辉 杨咸月 |
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| 作者单位： | 复旦大学国际金融系;上海社科院部门经济研究所 |
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| 基金项目： | 国家社科基金项目(06BJL051);;教育部应急课题(2009JYJR044) |
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| 摘 要： | 金砖四国新兴股票市场已不同程度地融入了全球一体化进程之中。从水平溢出效应看,四国股票市场受发展中国家指数收益率的影响都不够发达,只有中国在考虑汇率后对发达国家或全球指数收益率有显著作用;巴西和中国(考虑汇率后)对本地区有显著影响。从波动溢出效应看,除中国外,其他三国均影响发达国家或全球、发展中国家和本地区指数收益。
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| 关 键 词： | 金砖四国 股票市场 溢出效应 |
Distinctive International Status and Spillovers of BRIC Stock Markets |
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| HE Guang-hui,YANG Xian-yue.Distinctive International Status and Spillovers of BRIC Stock Markets[J].The Study of Finance and Economics,2010(4). |
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| Authors: | HE Guang-hui YANG Xian-yue |
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| Institution: | 1.Department of International Finance;Fudan University;Shanghai 200433;China;2.Institute of National Economy;Shanghai Academy of SocialSciences;Shanghai 200020;China |
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| Abstract: | The BRIC stock markets are in the process of international integration.As to level spillovers,four developing countries have insignificant effects on index returns.Only China has an impact on index returns of developed countries and the whole world.Brazil and China with the exchange rates changes produce an effect on their own index returrs.As to volatility spillovers,except China,other three countries influences index returns of developed countries,the whole world,developing countries and local regions. |
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| Keywords: | BRIC stock market spillover effect |
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