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The Study And Empirical Analysis Of Volatility Spillover Effect Between The Stock Market And Me Foreign Exchange Market

Posted on:2014-04-16Degree:MasterType:Thesis
Country:ChinaCandidate:L M LiFull Text:PDF
GTID:2269330425472253Subject:Operational Research and Cybernetics
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As the development of market economy in recent years, the stock market and the foreign exchange market gradually show the characteristic of marketization,the marketization have deepened the connection and affection between them in return.Therefore,it is necessary for further study on volatility spillover effect between the stock market and the foreign exchange market.The article chooses RMB-US exchange rate and the Shanghai Composite index between Jan.5,2009and May.22,2012as the research object.Applying BEKK-GARCH model to study the volatility spillover effect of the day logarithm yield of them.Making the second RMB exchange rate system reform on June19,2010as cut-off point,we divide the whole sample into the early stage and the last stage for comparative study.Firstly,the paper describes and analyses the correlation theory and model of volatility spillover effect, examines the original series and the logarithm yield series of RMB-US exchange rate and the Shanghai Composite index using the ADF test,the results show that the original series of them all have unit roots,they are non-stationary series. The logarithm yield series of them refuse the original hypothesis of existing unit toot, they are stationary series.So we can establish time series model on the logarithm yield series.Basing on this conclusion, the paper establishs the ARMA time series model on the logarithm yield series.Secondly, using Johansen cointegration test and Granger causality test do diagnostic statistical test on the relationship between the logarithm yield series of the RMB-US exchange rate and the Shanghai Composite index. The results show that they have a stable and long-term equilibrium relationship. The Shanghai Composite index is the Granger cause of the RMB-US exchange rate, in return, there isn’t this situation.Finally, applying BEKK-GARCH model to study the volatility spillover effect between the sample dates,and examine the results with LR likelihood ratio test.The results show that,for the whole sample,there is volatility spillover effect from the exchange rate to the Shanghai Composite index,the spillover is unidirectional.There isn’t volatility spillover between the exchange rate and the Shanghai Composite index berore the second RMB exchange rate system reform.After the second reform,there exists bidirectional volatility spillover effect between the two series.But the volatility spillover from the Shanghai Composite index to the exchange rate is weak.Through the comparative analysis of different samples,we can find that the RMB exchange rate system reform do have an effect on the stock market.The interaction relationship between the foreign exchange market and the stock market have strengthened after the exchange rate reform.The intence study of these relationships plays an important reference meaning in promoting the financial market reform and maintaining the stability and security of our financial market.
Keywords/Search Tags:volatility spillover, cointegration test, Granger causality test, BEKK-GARCH model, ARMA model
PDF Full Text Request
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