【摘要】：文章基于交叉相關(guān)函數(shù)的信息溢出檢驗(yàn)方法,以創(chuàng)業(yè)板指數(shù)和HS300指數(shù)作為研究對(duì)象,對(duì)2010年6月到2016年8月期間中國創(chuàng)業(yè)板市場(chǎng)和主板市場(chǎng)的均值、波動(dòng)率、1%下跌風(fēng)險(xiǎn)、5%下跌風(fēng)險(xiǎn)等四類信息溢出效應(yīng)進(jìn)行了單向和雙向因果的實(shí)證研究。結(jié)果發(fā)現(xiàn):創(chuàng)業(yè)板和主板市場(chǎng)之間的雙向Granger因果關(guān)系檢驗(yàn)在上述四類信息溢出上都是顯著的,說明兩個(gè)市場(chǎng)的一體化程度較高;單向的Granger因果檢驗(yàn)發(fā)現(xiàn),只存在從主板市場(chǎng)到創(chuàng)業(yè)板市場(chǎng)的波動(dòng)率信息溢出效應(yīng)和5%下跌風(fēng)險(xiǎn)溢出效應(yīng),沒有發(fā)現(xiàn)從創(chuàng)業(yè)板市場(chǎng)到主板市場(chǎng)的任何單向溢出效應(yīng),表明金融風(fēng)險(xiǎn)的防范重點(diǎn)在主板市場(chǎng),創(chuàng)業(yè)板市場(chǎng)處于被動(dòng)吸收信息的地位。結(jié)論對(duì)相關(guān)交易政策的制定具有參考意義。
[Abstract]:Based on the information spillover test method of cross-correlation function, this paper takes the gem index and HS300 index as the research objects, and analyzes the average, volatility and 1% downside risk of the gem market and the main board market between June 2010 and August 2016. Five percent downside risk and four kinds of information spillover effects are studied in one-way and bidirectional causality. The results show that the two-way Granger causality test between the gem and the main market is significant in the above four types of information spillover, indicating that the integration of the two markets is high; The one-way Granger causality test shows that there are only volatility information spillover effects and 5% downside risk spillover effects from the main market to the gem market, and no one-way spillover effect from the gem market to the main board market. It shows that the main market is the main market for financial risk prevention, and the gem market is in the position of passive absorption of information. The conclusion has the reference significance to the related transaction policy formulation.
【作者單位】： 上海財(cái)經(jīng)大學(xué)經(jīng)濟(jì)學(xué)院;
【基金】：上海財(cái)經(jīng)大學(xué)研究生創(chuàng)新基金資助項(xiàng)目(CXJJ-2015-370;CXJJ-2015-371;CXJJ-2015-373;CXJJ-2015-378)
【分類號(hào)】：F832.51

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