【关键词】	汇率; 股价; 信息传递; GARCH-BEKK;
【英文关键词】	exchange rates; stock price; transmission of information; GARCH-BEKK;
【摘要】	关注金融市场间的风险传染性对于防范金融风险、提高监管效率有着重要的意义。运用多元GARCH模型研究汇改后(2005年7月22日到2009年8月31日)中国股票市场与外汇市场的信息传导过程,其结果表明汇市的波动风险会传染给股市,而股市的波动则不会对汇市产生明显影响,股市与汇市之间的溢出效应是非对称的。分阶段研究显示,在牛市阶段,股市对汇市存在微弱的信息溢出效应;熊市阶段,只存在单向溢出效应,随着时间的推移,汇市对股市的溢出效应逐渐增强。
【英文摘要】	Concerned about the infectious risk among financial market is of sufficient importance to the prevention of financial risks and improvement of regulatory efficiency.With the multiplex GARCH model,this paper analyzes the process of information transmission between China s stock market and foreign exchange market after the reformation of exchange-rate system(from July 22,2005 to August 31,2009).The results show that the risk of exchange rates fluctuations will be transmitted to the stock market,the volatility...