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《The Journal of Quantitative & Technical Economics》 2009-12
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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
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