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
    点此下载全文
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
摘要点击次数: 699
全文下载次数: 43
作者单位
曾志坚,钟紫璇,曾艳 (1. 湖南大学 工商管理学院湖南 长沙4100822. 湖南财政经济学院 工商管理系湖南 长沙410205) 
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
 
The Spillover Effect between Chinese GEM Market and the Main Board Market Based on Wavelet Multiresolution Analysis
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
查看全文   查看/发表评论   下载pdf阅读器