WANG Bin-Hui, ZHENG Hui, CHEN Jin-Fei
journal6. 2010, 32(4): 37-45.
With the development of economics and of China,the tendency of co-movement is emerging among financial markets.In this paper,we investigate the price and volatility spillover among them by utilizing VAR-MVGARCH model,and we find:1) there is no price spillover effect among the three markets,but they all have time-varying variance persistent volatility; 2) there exists asymmetrical bidirectional volatility spillover effect bothbetween stock market and currency market and exchange market and bond market; 3) ho...