A Research On The Interactive Relationship Among The Stock,Currency And Money Market

Currently,with the genera acceleration of the economic globalization,financial liberalization,and internet popularization,the relationship between countries and financial markets is gradually enhanced,and this correlation can be showed by the significant market dynamic correlation and volatility spillover effect.Effective financial market has advantages and disadvantages both.On the one hand,it is the precomdition of effectively implement relevant policies designed by regulatory authorities.On the other hand,when a market suffered from some unexpected shock,which can easily infect other financial markets,moreover lead to financial disaster.What’s more,it is rather meaningful that we do deeply research on the dynamic correlation and volatility spillover effect of financial markets in our country.For one thing,we can realize the correlation degree and the conduction direction of the financial markets;for another thing,the results can do good to investors’ investment decisions,and help government strengthen the market correlation while formulate relevant policies to prevent financial contagion between various sub-markets.Stock market,foreign exchange market and monetary market are the core components of the financial market in China.The most representative indicators of stock market,foreign exchange market and monetary market respectively is the stock price,the exchange rate,and interest rates.Based on current literature and the former classic empirical study,this paper chooses the HS300 index,the RMB exchange rate,and 7 days interbank interest rate as the proxy variable of the stock price,exchange rate and interest rates.And then,put them in one model,relying on the Ternary GARCH-BEKK,we can analyze the volatility spillover effect between three variables.From the overall,this paper analyzes the price spillover effect and the volatility spillover effect among stocks returns,exchange rate of returns and money rate.The results show that 1)between currency market and stock market there is only unidirectional mean spillover effect from currency market to stock market;2)however,there exists asymmetrical bidirectional mean spillover effect both between stock market and money market and currency market and money market,which exhibits time-varying variance and volatility persistence;3)there exists bidirectional volatility spillover effect between currency market and money market,however there is only unidirectional volatility spillover effect from stock market to money market,which is demonstrated from money market to currency market.