Full-Text Search:
Home|Journal Papers|About CNKI|User Service|FAQ|Contact Us|中文
《The Journal of Quantitative & Technical Economics》 2009-12
Add to Favorite Get Latest Update

The Volatility Spillover Effect between the Chinese Stock Market and the Foreign Exchange Market

Based on the daily log return of Shanghai Composite Index's closed price and the RMB-Dollar exchanges rate between July of 2005 and December of 2008,this paper studies the dynamic linkage between Chinese stock market and foreign exchange market using DCC-MGARCH model,as well as the volatility spillover effect on these two markets using BEKK-MGARCH model.The empirical results show that there is volatility spillover effect between the two markets.However,the authors find the volatility spillover effect is asymmetric,that is,the volatility spillover from foreign exchange market to stock market is not only temporal but also permanent,and the volatility spillover effect from stock to foreign exchange is only temporal.
【Fund】: 教育部人文社科基金“异质信念、卖空限制和我国股市暴涨暴跌机制研究”(编号08JA790109)资助
【CateGory Index】: F224;F832.5
Download(CAJ format) Download(PDF format)
CAJViewer7.0 supports all the CNKI file formats; AdobeReader only supports the PDF format.
【Citations】
Chinese Journal Full-text Database 7 Hits
1 LIU Xiang-li~(1,2) CHENG Si-wei~2 WANG Shou-yang~2 HONG Yong-miao~3 1.Department of Fundamental,Beijing Information Technology Institute,Beijing 100101,China;2.School of Management,Graduate School of the Chinese Academy of Sciences,Beijing 100080,China;3.Department of Economics and Department of Statistical Science,Cornell University,NY 14850,U.S.A.;Analysis of information spillover effect between futures market and spot market[J];Journal of Management Sciences in China;2008-03
2 Zhang Bing1,Feng Sixian2,Li Xindan1 and Wang Huijian3(1.School of Engineering and Management,Nanjing Univeristy;2.School of Business,Nanjing Normal University;3.China Financial Futures Exchanges,Shanghai);Exchange Rates and Stock Prices Interactions in China:An Empirical Studies after 2005 Exchange Rate Reform[J];Economic Research Journal;2008-09
3 Biqiong Zhang and Li Yue;Do the Exchange Rates Matter for Chinese Stock Market: Evidence from ARDL-ecm Estimation[J];Journal of Finance;2002-07
4 Zhao Liuyan Wang Yiming;Information Flows and Volatility Spillover across A Share and B share Market in China[J];Journal of Finance;2003-10
5 Zhao Hua;A Study on Price and Volatility Spillovers Effects between RMB Exchange Rate and Interest Rate[J];Journal of Financial Research;2007-03
6 Deng Shen Yang Chaojun;An empirical Study on the Relationship between Stock Price and Exchange Rate in China[J];Journal of Financial Research;2008-01
7 ;China's Stock Market Wealth:an Empirical Study Based on the Dynamic Distributed Lag Model and the State Space Model[J];The Journal of Quantitative & Technical Economics;2008-06
【Co-citations】
Chinese Journal Full-text Database 10 Hits
1 FANG Ting,CAO Chong-yan,JIANG Guo(School of Management,University of Science and Technology of China,Hefei,Anhui,230052);The Cointegration and Granger Analysis of RMB Exchange Rate and Stock Index in Different Fields after the Exchange Rate Reform[J];Journal of Anhui University(Philosophy & Social Sciences);2008-01
2 CHEN Jing LI Handong(School of Management,Beijing Normal University,100875,Beijing,China);RELATIONSHIP BETWEEN EXCHANGE RATES FLUCTUATIONS AND STOCK PRICE VOLATILITY IN CHINA[J];Journal of Beijing Normal University(Natural Science);2008-06
3 Feng Cai;The factors influencing short-term international capital flow in China——An empirical study based on the data of 1994-2007[J];Finance & Economics;2008-06
4 Yuang Huaiyu1 Zhang Zongcheng2;Relationship between Exchange Rate and Stock Prices under Macro-control Policies[J];Finance & Economics;2009-05
5 CHENG Xing-hua~1,DUAN Rui-qiang~2(1.School of Economics,Zhejiang University,Hangzhou 310027,China;2.School of Statistics,Zhejiang Gongshang University,Hangzhou 310035,China);An Empirical Research on Market Segmentation of A and B Market[J];Collected Essays on Finance and Economics;2004-06
6 HUANG Wei-hua(School of Business Administration,Zhejiang University of Finance and Economics,Hangzhou 310018,China);The Economic Impact of International Fluid Capital Inflow and Strategies[J];Collected Essays on Finance and Economics;2009-03
7 LI Zhong1,ZHANG Di-xin2 (1.School of Finance,Zhejiang University of Fiance and Economics,Hangzhou 310018,China;2.School of Business,Nanjing University,Nanjing 210093,China);An Empirical Research on the Relationship Between Foreign Exchange Market and Stock Market Under Financial Crisis[J];Collected Essays on Finance and Economics;2009-04
8 XU Ming-dong1,XIE Xue-cheng2(1.Institute for Financial Studies, Fudan University, Shanghai 200433,China;2. Center for R&D, Southwest Securities Company,LTD., Beijing 100032, China);Dynamic Study on the Effectiveness of Capital Control in China from 1982 to 2008[J];Journal of Finance and Economics;2009-06
9 XIONG Zheng-de,XIE Min(College of Business Administration,Hunan University,Changsha 410082,Hunan,China);An Empirical Study on the Volatility Spillovers Effect between Chinese Interest Rate and Stock Markets[J];The Theory and Practice of Finance and Economics;2007-01
10 YUAN Dong-mei~1,LIU Jian-jiang~2 (1.School of Business,Hunan Normal University,Changsha,Hunan 410081,China;School of Economics,Central China University of Science and Technology, Wuhan,Hnubei 430074,China;2.School of Economics,Changsha University of Science andd Technology Changsha,Hunan 410076,China);A Positivist Analysis of the Impact of Currency Appreciation on the Stock Market[J];Journal of Changsha University of Science & Technology(Social Science);2006-04
China Proceedings of conference Full-text Database 2 Hits
1 Liu Jingjun (Lingnan College, Sun Yat-sen University Guangzhou,510275, Guangdong);Optimal Hedge ratio Based on Relative Value at Risk[A];[C];2008
2 Zheng Jianming;The Newest Development in the Exchange Rate System and the Asset Price Effect of the Fluctuation of Exchange Rate——Thoughts on the macro control under the pressure of RMB appreciation[A];[C];2004
【Secondary Citations】
Chinese Journal Full-text Database 10 Hits
1 by Wang yi Ming;Stocks Market and Domestic Demand Stimulation[J];FINANCE AND ECONOMICS;2000-03
2 LIU Qing-fu1,WANG Hai-min2(1.Institue for Financial Studies, Fudan University, Shanghai 200433,China;2.South Aero-company,Guangzhou Guangdong 510320,China);Price Discovery in the Spot -Futures Markets:An Empirical Analysis in Chinese Agricultural Products[J];Research on Financial and Economic Issues;2006-04
3 Hu Guanjin (Guosen Securities Co., Ltd, 518001);An Empirical Study on the Contributions of China's securities industry and listed companies to GDP[J];Finance & Trade Economics;2003-03
4 Gao Hui(Dongbei University of Finance & Economics);CONINTEGRATION ANALYSIS OF COMMODITY FUTURES PRICES IN SANGHAI, CHINA AND LONDON, UK[J];Natural Science Journal of Harbin Normal University;2004-02
5 ZHU Hong quan,LU Zu di,WANG Shou yang Institute of Systems Science, Academy of Mathematics and Systems Sciences,Chinese Academy of Sciences, Beijing 100080, China;Granger causality analysis of stock markets in China[J];Journal of Manegement Sciences In China;2001-05
6 WANG Cheng wei, WU Chong feng School of Management, Shanghai Jiaotong University, Shanghai 200030, China;Linear and nonlinear Granger causality test of stock price-volume relation: Evidences from Chinese markets[J];Journal of Manegement Sciences In China;2002-04
7 XU Jian-gang,TANG Guo-xing School of Management,Fudan University,Shanghai 200433,China;Volatility,trading volume,market depth: Evidence from copper futures in Shanghai futures exchange[J];Journal of Management Sciences in China;2006-02
8 LIU Hai-long,HUANG Wei Antai College of Economics & Management,Shanghai Jiaotong University,Shanghai 200052,China;Empirical test of Shanghai Copper futures pricing[J];Journal of Management Sciences in China;2007-03
9 Chen Hong & Tian Nong(Zhongnan University of Economics and Law Wuhan 430060 China);China's Stock Market Wealth Effect:Theory and Empirical Analysis[J];Journal of Guangdong University of Finance;2007-04
10 YONGMIAO HONG(Cornell University&Tsinghua University)SIWEI CHENG YANHUI LIU SHOUYANG WANG(Chinese Academy of Sciences);Extreme Risk Spillover between Chinese Stock Market and International Stock Markets[J];China Economic Quarterly;2004-02
©2006 Tsinghua Tongfang Knowledge Network Technology Co., Ltd.(Beijing)(TTKN) All rights reserved