文章基本信息

标题：Volatility spillover effect between financial markets: evidence since the reform of the RMB exchange rate mechanism
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作者：Zhengde Xiong ; Lijun Han
期刊名称：Financial Innovation
电子版ISSN：2199-4730
出版年度：2015
卷号：1
期号：1
页码：1-12
DOI：10.1186/s40854-015-0009-2
出版社：Springer Verlag
摘要：The volatility spillover effect between the foreign exchange and stock markets has been a major issue in economic and financial studies. In this paper, GC-MSV model was used to study the spillover effect between the foreign exchange market and the stock market after the reform of the RMB exchange rate mechanism. The empirical results show that there is a negative correlation of dynamic price spillovers between the foreign exchange and stock markets. There are asymmetric volatility spillover effects between these two markets for both RMB stages—continued RMB appreciation or constant RMB shock (a significant reduction in appreciation). However, this has been reduced over time. In conclusion, The RMB exchange rate is a key variable that can affect the internal and external equilibrium of the national economy in an open economic environment, and the stock market is capable of quickly reflecting subtle changes in the real economy. In order to keep the stability of the financial markets and the healthy and rapid development of national economy, some suggestions were proposed.
关键词：Financial markets ;Volatility spillover effect ;GC; MSV model