期刊论文

An empirical study of Shibor's impact on the return rate of small,medium and large stocks

中文

邵阳学院学报(自然科学版)

1672-7010

2019

16

1

27-35

10.3969/j.issn.1672-7010.2019.01.003

11731012:国家自然科学基金 11571052:国家自然科学基金 2017JJ2271:湖南省自然科学基金 2017JJ2274:湖南省自然科学基金 2018JJ2417:湖南省自然科学基金

本校为第一机构

针对一直以来被忽略的特定时段下上海银行间拆放利率(Shibor)正常交易而股市休市这一不对称交易实际情况,将该情况对股市具有的影响效应加入VAR-MGARCH-BEKK模型进行改进,以分析Shibor对大中小盘股收益率的影响。结果表明,Shibor对大中小盘股具有信息传导效应。相较于大中盘股而言,小盘股对Shibor的持续波动反映得更强烈。因此中国货币政策的制定对股票市场的运作具有重要的参考意义。

In response to the asymmetric trading situation of shanghai interbank offered rate(Shibor)normal trading and stock market closure,which has been neglected for a long time,a VAR-MGARCH-BEKK model was improved by adding the effect of this situation to the stock market to analyze the Shibor's effect on the return of large,medium and small stocks.The results showed that Shibor had information transmission effect on large,medium and small disk stocks;compared with large and medium-sized stocks,small-cap stocks responded more strongly to the continuous volatility of Shibor.Therefore,the formulation ...