| 中国创业板和主板市场间溢出效应研究——基于小波多分辨分析 |
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| 引用本文：曾志坚，钟紫璇，曾艳.中国创业板和主板市场间溢出效应研究——基于小波多分辨分析[J].财经理论与实践,2012,(6):43-47 |
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| 中文摘要:运用小波多分辨分析及VAR-DCC-GARCH模型，研究了中国创业板与主板股票市场间的溢出效应。实证结果表明：从长期趋势看，中国创业板与主板市场之间存在双向的均值和波动溢出;从短期来看，在1~2天的短期交易周期中，两者之间不存在任何溢出效应;随着交易周期的增长，两者间的均值溢出效应是从无到单向，再到双向逐步体现出来的，而波动溢出效应的出现则没有规律性。 |
| 中文关键词:创业板市场 主板市场 溢出效应 小波多分辨 VAR-DCC-GARCH |
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| The Spillover Effect between Chinese GEM Market and the Main Board Market Based on Wavelet Multiresolution Analysis |
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| Abstract:The spillover effect between Chinese GEM and the main board market is examined using the wavelet multiresolution analysis and the VAR-DCC-GARCH model. The empirical results show that: from the long term trend, there exist bidirectional mean and volatility spillover between the GEM and main board market. From the short-term trend, in the cycle of 1~2 days, there do not exist any spillover effect between the two markets. With the growth of trading cycle, the mean spillover effect between the two markets is from nothing to one-way, and then to two-way, while the appearance of volatility spillover effect has no regularity. |
| keywords:GEM market Main board market Spillover effect Wavelet multiresolution analysis VAR-DCC-GARCH |
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