| 沪市不同行业间信息的溢出效应研究 |
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| 引用本文： | 岳朝龙,丁元子.沪市不同行业间信息的溢出效应研究[J].安徽工业大学学报(社会科学版),2009,26(3):7-9,39. |
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| 作者姓名： | 岳朝龙 丁元子 |
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| 作者单位： | 安徽工业大学,管理科学与工程学院;安徽工业大学,经济学院,安徽,马鞍山,243002 |
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| 摘 要： | 通过向量自回归模型和多元GARCH-BEKK模型对沪市工业、商业和地产行业之间的均值过程和条件方差过程的信息溢出效应分析发现,三个行业间存在收益过程的单向溢出效应,且除工业类对商业类股价波动的溢出效应不明显之外,其它均存在显著的波动双向溢出效应。
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| 关 键 词： | 沪市 波动溢出效应 均值溢出效应 VAR-ARCH-BEKK模型 |
Research on the Information Spilling Effect in Different Trades of Shanghai Stock Market |
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| Authors: | YUE Chao-long DING Yuan-zi |
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| Institution: | YUE Chao-long1,DING Yuan-zi2(1.School of Management Science , Engineering,2.School of Economics,AHUT,Maanshan 243002,Anhui,China) |
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| Abstract: | According to the analysis of the information spilling effect in the mean value process and conditional variance process to the industries,commerce and real estates in Shanghai stock market by use of the vector auto regression model and multivariate GARCH-BEKK model,it is discovered that there exist unidirectional spilling effect to the income process among the three trades above,and that there is prominent fluctuate double direction spilling effect regardless of the unobvious stock price spilling effect ind... |
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| Keywords: | Shanghai stock market fluctuate spilling effect mean value spilling effect VAR-ARCH-BEKK model |
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