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中文摘要：
采用BVGARCH—BEKK模型，结合LR似然比检验和Wald检验，实证研究人民币汇率与股票市场之间的波动溢出效应。采用1997年1月1日～2008年12月31日人民币对美元中间价和上证A股指数的日交易数据，并考虑到2005年7月21日人民币汇率形成机制改革这一事件可能产生的结构性影响，划分为汇改前和汇改后两个子样本区间，深入分析人民币汇率与上证A股之间的波动溢出效应。实证结果表明，人民币汇率与股票市场之间存在波动溢出效应，且在汇改前和汇改后的表现不同；汇改前表现为显著的从汇率到股市收益率的波动溢出，汇改后主要表现为显著的从股市收益率到汇率变动率的波动溢出，汇改后汇率与股票市场之间的联系有所增强。针对实证结论，分析其背后的经济制度因素，并且得出一些政策启示。
英文摘要：
This study on the volatility spillover effects between RMB exchange rate and stock market uses BVGARCH-BEKK model, LR and Wald tests. Based on daily data of RMB exchange rate and Shanghai A share index from Jan 1, 1997 to Dec 31, 2008, this paper makes empirical analysis of the volatility spillover effects between RMB exchange rate and Shanghai A share return during the periods before and after RMB exchange rate reform on Jul 21,2005. The empirical results show that there exist significant volatility spillover effects between these two markets. Before the RMB exchange rate reform, there＇s significant unidirectional volatility spillover from exchange rate to stock return, yet after the reform, there＇s significant unidirectional volatility spillover from stock return to RMB exchange rate change. The results also show that interrelation between RMB exchange rate and stock market is enhanced after the reform. At last, this paper explains factors of the performance and provides some policy implications.
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