摘要
沪深股市相似的结构和监管环境使得两市的收益率和波动性之间具有相互作用和影响。本文运用Granger因果检验及GARCH -M模型对两市的相关性进行分析和检验 ,结果表明沪深股市收益率之间存在较强相关性并且都存在显著的风险溢价 ,波动性则表现出非对称的溢出效应。
The Shanghai and Shenzhen Stock markets share similar structures and regulatory environments, so there are interaction and influences of returns and volatility between the two market. Using Granger Causality analysis and GARCH-M model, we find that there are strong correlations of returns between the two markets, and in each market the time varying risk premium is highly significant. We also find that the spillover effect in the two markets is asymmetry.
出处
《金融研究》
CSSCI
北大核心
2003年第7期80-85,共6页
Journal of Financial Research
