【摘要】 本文基于BVGARCH-BEKK模型对比分析国际金融危机前后国内股市与汇市之间的波动溢出效应,揭示金融市场联动特征和金融危机对其内在影响。实证发现:金融危机爆发后国内汇市的波动风险会显著地传导到股市,而股市的波动不会对汇市产生明显的影响。危机前后地产、工业板块与汇市的互动关系同总体股市与汇市的互动关系趋同,而危机爆发后汇市对商业、公用板块的传递效应消失。最后,本文对实证结果作了原因分析并提出结论。更多还原

【Abstract】 Based on the BVGARCH-BEKK model,this paper compares and analyzes the conduction mechanism of spillover effects between the domestic stock market and exchange market pre and post the global financial crisis,revealing the characteristics of financial markets and the financial crisis’s effects on them.The empirical results show that: after the breakout of financial crisis,the volatility risk of the domestic exchange market will infect significantly the stock market,while the stock market fluctuation will not generate significant impact on the exchange market.The interactive relationship among the real estate,industrial indexes and exchange market and the interactive relationship between the general stock market and exchange market is convergent.And after the crisis,the exchange market’s volatility spillover effects on the commercial and public in dexes disappear.Finally,this paper makes analysis on the empirical results and draws some conclusions.更多还原