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Impact of spillover effect of exchange rate volatility on capital market

  • Department of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei 230026, China

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https://doi.org/10.3969/j.issn.0253-2778.2016.12.011
  • Received Date: 10 March 2016
  • Accepted Date: 05 June 2016
  • Rev Recd Date: 05 June 2016
  • Publish Date: 30 December 2016
    Abstract

  • Abstract

    With the deepening of the reform of foreign exchange management system in China, the effect of increasing volatility of the RMB exchange rate on the capital market is more and more significant. The index of spillover effect between capital markets in China was built based on the improved VAR model. The impact of spillover effect of exchange rate volatility on capital market was empirically analysed. The results show that the impact of spillover effect is asymmetric among the different volatility level samples of RMB exchange rate, and low volatility of exchange rate has the most significant impact of spillover effect; and that the empirical results also confirmed that the exchange rate volatility may lead to the bidirectional spillover effect on capital market.

    Abstract

    With the deepening of the reform of foreign exchange management system in China, the effect of increasing volatility of the RMB exchange rate on the capital market is more and more significant. The index of spillover effect between capital markets in China was built based on the improved VAR model. The impact of spillover effect of exchange rate volatility on capital market was empirically analysed. The results show that the impact of spillover effect is asymmetric among the different volatility level samples of RMB exchange rate, and low volatility of exchange rate has the most significant impact of spillover effect; and that the empirical results also confirmed that the exchange rate volatility may lead to the bidirectional spillover effect on capital market.
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    • References(10)
  • [1]
    FORBES K J, RIGOBON R. No contagion, only interdependence: Measuring stock market comovements[J]. Journal of Finance, 2002, 57(5): 2 223-2 261.
    [2]
    KING M, SENTANA E, WADHWANI S. Volatility and links between national stock markets[J]. Econometrica, 1994, 62(4): 901-933.
    [3]
    樊智，张世英. 多元GARCH建模及其在中国股市波动分析中的应用[J]. 管理科学学报，2003, 6(2): 68-73.
    FANZhi, ZHANG Shiying. Multivariate GARCH modeling and its application in volatility analysis of Chinese stock markets[J]. Journal of Management Sciences in China, 2003, 6(2): 68-73.
    [4]
    谷耀，陆丽娜. 沪、深、港股市收益、波动溢出效应与动态相关性-基于DCC-(BV)EGARCH-VAR的检验[J]. 数量经济与技术经济研究，2006(8):142-151.
    GU Yao, LU Lina. Information spillover effects between HU, SHEN, GANG stock markets and dynamic conditional correlation[J]. The Journal of Quantitative & Technical Economics, 2006(8): 142-151.
    [5]
    刘金全，崔畅. 中国沪深股市收益率和波动性的实证分析[J]. 经济学(季刊)，2002, 1(4): 885-898.
    LIU Jinquan, CUI Chang. The positive analysis of stock returns and volatilities in China’s stock market[J]. China Economic Quarterly, 2002, 1(4): 885-898.
    [6]
    张兵，封思贤, 李心丹,等. 汇率与股价变动关系:基于汇改后数据的研究[J]. 经济研究, 2008(9):70-81.
    ZHANG Bing ,FENG Sixian , LI Xindan, et al. Exchange rates and stock prices interactions in China : An empirical studies after 2005 exchange rate reform[J]. Economic Research Journal, 2008(9):70-81.
    [7]
    王璐，庞皓. 中国股市和债市波动溢出效应的MV-GARCH分析[J]. 数理统计与管理，2009, 28(1):152-158.
    WANG Lu, PANG Hao. The study on the volatility spilllover effect between the Chinese stock market and bond market based on the MV-GARCH model[J]. Application of Statistics and Management, 2009, 28(1):152-158.
    [8]
    邓燊，杨朝军. 汇率制度改革后中国股市与汇市关系——人民币名义汇率与上证综合指数的实证研究[J]. 金融研究，2007(12):55-64.
    [9]
    DIEBOLD F X, YILMAZ K. Measuring financial asset return and volatility spillovers, with application to global equity markets [J].The Economic Journal, 2009(119):158-171.
    [10]
    ENGLE R F, ITO T, LIN W L. Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market[J]. Econometrica, 1990, 58(3): 525-542.
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    [1]
    FORBES K J, RIGOBON R. No contagion, only interdependence: Measuring stock market comovements[J]. Journal of Finance, 2002, 57(5): 2 223-2 261.
    [2]
    KING M, SENTANA E, WADHWANI S. Volatility and links between national stock markets[J]. Econometrica, 1994, 62(4): 901-933.
    [3]
    樊智，张世英. 多元GARCH建模及其在中国股市波动分析中的应用[J]. 管理科学学报，2003, 6(2): 68-73.
    FANZhi, ZHANG Shiying. Multivariate GARCH modeling and its application in volatility analysis of Chinese stock markets[J]. Journal of Management Sciences in China, 2003, 6(2): 68-73.
    [4]
    谷耀，陆丽娜. 沪、深、港股市收益、波动溢出效应与动态相关性-基于DCC-(BV)EGARCH-VAR的检验[J]. 数量经济与技术经济研究，2006(8):142-151.
    GU Yao, LU Lina. Information spillover effects between HU, SHEN, GANG stock markets and dynamic conditional correlation[J]. The Journal of Quantitative & Technical Economics, 2006(8): 142-151.
    [5]
    刘金全，崔畅. 中国沪深股市收益率和波动性的实证分析[J]. 经济学(季刊)，2002, 1(4): 885-898.
    LIU Jinquan, CUI Chang. The positive analysis of stock returns and volatilities in China’s stock market[J]. China Economic Quarterly, 2002, 1(4): 885-898.
    [6]
    张兵，封思贤, 李心丹,等. 汇率与股价变动关系:基于汇改后数据的研究[J]. 经济研究, 2008(9):70-81.
    ZHANG Bing ,FENG Sixian , LI Xindan, et al. Exchange rates and stock prices interactions in China : An empirical studies after 2005 exchange rate reform[J]. Economic Research Journal, 2008(9):70-81.
    [7]
    王璐，庞皓. 中国股市和债市波动溢出效应的MV-GARCH分析[J]. 数理统计与管理，2009, 28(1):152-158.
    WANG Lu, PANG Hao. The study on the volatility spilllover effect between the Chinese stock market and bond market based on the MV-GARCH model[J]. Application of Statistics and Management, 2009, 28(1):152-158.
    [8]
    邓燊，杨朝军. 汇率制度改革后中国股市与汇市关系——人民币名义汇率与上证综合指数的实证研究[J]. 金融研究，2007(12):55-64.
    [9]
    DIEBOLD F X, YILMAZ K. Measuring financial asset return and volatility spillovers, with application to global equity markets [J].The Economic Journal, 2009(119):158-171.
    [10]
    ENGLE R F, ITO T, LIN W L. Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market[J]. Econometrica, 1990, 58(3): 525-542.
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