中国—东盟自由贸易协定的波动动态

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2018-10-21 DOI:10.1177/0972652718797812

J. Diaz

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引用次数: 0

摘要

本研究采用三个多元广义自回归条件异方差模型分析了东盟-中国自由贸易协定的波动动态。结果表明，中国股市存在长期持续性，其中中国股市的冲击会长期影响东盟其他股指。进一步的测试揭示了时变相关性的存在，表明动态模型，如动态条件相关性模型是合适的。Baba、Engle、Kraft和Kroner模型确定了中国和东盟指数的条件协变量是其滞后协变量的函数，进一步证明了中国股票的波动性影响东盟指数的波动性。JEL分类：C58、G15

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Volatility Dynamics in the ASEAN– China Free Trade Agreement

This study used three multivariate general autoregressive conditional heteroskedasticity models to analyze the volatility dynamics in the ASEAN–China Free Trade Agreement. Results indicated the presence of long-run persistence, wherein shocks in China’s stock market affect other ASEAN stock indices in the long term. Further tests revealed the presence of time-varying correlations, suggesting dynamic models, such as the dynamic conditional correlations model, are appropriate. The Baba, Engle, Kraft, and Kroner model determined that the conditional covariances of the Chinese and ASEAN indices are functions of their lagged covariances, further proving that China’s stock volatilities impact the volatilities of ASEAN counterparts. JEL Classification: C58, G15

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.