中文摘要：

本文采用2005年7月至2008年12月间上证综合指数与美元兑人民币汇率对数收益率的日数据，通过建立DCC-MGARCH模型考察我国股票市场与银行间外汇市场的动态相关性，并通过建立BEKK-MGARCH模型考察两市场波动率之间的溢出效应。实证结果表明，从短期来看，我国股票市场波动与外汇市场波动之间存在相互溢出效应；但从长期来看，存在不对称性，只存在汇市波动向股市溢出。

英文摘要：

Based on the daily log return of Shanghai Composite Index＇s closed price and the RMB-Dollar exchanges rate between July of 2005 and December of 2008, this paper studies the dynamic linkage between Chinese stock market and foreign exchange market using DCC-MGARCH model, as well as the volatility spillover effect on these two markets using BEKK-MGARCH model. The empirical results show that there is volatility spillover effect between the two markets. However, the authors find the volatility spillover effect is asymmetric, that is, the volatility spillover from foreign exchange market to stock market is not only temporal but also permanent, and the volatility spillover effect from stock to foreign exchange is only temporal.