【摘要】 应用Engle(2002)提出的动态条件相关多元GARCH模型(DCC-MVGARCH)和向量自回归(VAR)方法,研究了上海股票市场收益与Acharya and Pedersen(2005)提出的三种流动性风险以及系统风险变量的动态关系.研究结果表明,上海股市存在系统风险溢价和流动性风险溢价,但风险变量对收益率的影响较小,股市的风险传递机制尚未真正形成.更多还原

【Abstract】 In this study,we deal with the dynamic relationship between return and three liquidity risks proposed by Acharya and Pedersen and systematic risk variables in Shanghai Stock Markets,by applying the dynamic conditional correlation multivariate GARCH(DCC-MVGARCH) proposed by Engle and the method of vector auto-regression(VAR).The findings suggest that systematic risk premium and liquidity risk premium exist in Shanghai Stock Markets.But the impact of risk variables on return is weak,and the risk-transition mechanism is not formed completely.更多还原