| Information flow relation between different markets has been rendered more convenient and faster with the innovation of financial products,the improvement of information technology,and the deepening of economic globalization.The several major financial crises,particularly Asian financial crisis in 1998 and the present global financial crisis,have reminded investors and regulators that more attention should be paid to the pertinence between markets.Due to information flow.i.e.the Spillover Effect,a crisis in a particular financial market will trigger a domino effect among the markets around the world.Therefore,an isolated analysis of the volatility of a single stock market or currency market is prone to cause information loss,while a comprehensive analysis of the information flow(price spillover and volatility spillover) between markets bears profound significance for regulators to set down policies,for investors to prevent risks,and for assets portfolios to achieve their optimal allocation.Based on an analysis of the interaction mechanism between interest rate and stock prices and an understanding of the causes of the volatility effect,the paper first divides the samples into two groups:ante- Equity Division Reform and post- Equity Division Reform,and then conducts a study on the information flow(price spillover effect and volatility spillover effect) between Shanghai stock market.Shenzhen stock market and the money market by using the Granger causality tests and the MGARCH-BEKK model.The findings show that there is an asymmetric transmission of price information between the three markets.Between the money market and Shenzhen stock market, there was and is no price spillover effect before and after the Equity Division Reform. In the ante-Reform period,no such effect existed between the money market and Shanghai stock market,but in the post-Reform period there is a one-way price spillover effect.Of the three markets,Shanghai stock market occupies the central position concerning price information,thus having a stronger influence than the other two.In terms of volatility spillover effect,the volatility in Shanghai stock market. Shenzhen stock market and the money market takes on time-varying variance characteristic(the ARCH effect) and volatility persistence(the GARCH effect). Before the Reform.Shanghai stock market had certain volatility spillover effect on the currency market,while Shenzhen stock market had none.But after the Reform,there is a mutual volatility spillover effect among the currency market.Shanghai stock market and Shenzhen stock market. |
