| 国际商品市场与股票市场的溢出效应——基于中美数据的VAR-MGARCH分析 |
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| 引用本文： | 王嵩.国际商品市场与股票市场的溢出效应——基于中美数据的VAR-MGARCH分析[J].金融理论与实践,2011(7). |
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| 作者姓名： | 王嵩 |
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| 作者单位： | 复旦大学,上海,200433 |
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| 基金项目： | 国家自然科学基金研究项目(70973023)的阶段性研究成果; “复旦大学985国际竞争力创新项目”研究资助 |
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| 摘 要： | 基于VAR-MGARCH-BEKK模型,对国际商品市场与中美股票市场之间的均值与波动溢出效应进行了经验分析。结果表明,国际商品市场与中美股票市场之间存在着相互的均值溢出效应,国际商品市场对中美股票市场存在波动溢出效应,同时,美国股票市场对国际商品市场存在波动溢出效应;另外,中国应该尽快编制科学合理并适合自身国情的商品指数。
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| 关 键 词： | 商品市场 股票市场 溢出效应 VAR-MGARCH模型 |
Spillover Effect between International Commodity Market and Stock Market:VAR-MGARCH Analysis Based on Data of China and USA |
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| Wang Song.Spillover Effect between International Commodity Market and Stock Market:VAR-MGARCH Analysis Based on Data of China and USA[J].Financial Theory and Practice,2011(7). |
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| Authors: | Wang Song |
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| Abstract: | An empirical research on the mean and volatility spillover effect between international commodity market and stock markets of China and USA has been made based on VAR-MGARCH-BEKK model.The results reveal that international commodity market and stock markets of China and USA have interactive mean spillover effect,international commodity market has volatility spillover effect on stock markets of China and USA,while stock market of USA has volatility spillover effect on international commodity market.Additiona... |
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| Keywords: | Commodity Market Stock Market Spillover Effect VAR-MGARCH Model |
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