TITLE:
Empirical Research on Spillover Effect among Stock, Money and Foreign Exchange Market of China
AUTHORS:
Yunlong Yu, Dong Liao
KEYWORDS:
Stock Market, Currency Market, Money Market, GARCH-BEKK Model, Spillover Effect
JOURNAL NAME:
Modern Economy,
Vol.8 No.5,
May
12,
2017
ABSTRACT: With the openness and marketization of China’s
financial market accelerating, the linkage between various financial markets is
increasingly significant. By utilizing VAR model and asymmetric GARCH (1,1)-BEKK
model, this paper analyzes the price spillover effect and the volatility
spillover effect among stocks returns, exchange rate of returns and money rate.
The results show that 1) between currency market and stock market there is only
unidirectional mean spillover effect from currency market to stock market; 2)
however, there exists asymmetrical bidirectional mean spillover effect both
between stock market and money market and currency market and money market,
which exhibits time-varying variance and volatility persistence; 3) there
exists bidirectional volatility spillover effect between currency market and
money market, however there is only unidirectional volatility spillover effect from stock market to money market, which is
demonstrated from money market to currency market.