The Study of the Dynamics among Exchange Market Pressure, Stock Market and Money Market: The Case of Chinese Market

• Main Authors: LIU, CHIH-CHUN, 劉芷君
• Other Authors: WANG, KAI-LI
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/d3ngkt

碩士 === 東海大學 === 財務金融學系 === 104 === This paper takes financial market in China as its study object. By adopting DCC-GARCH Model, we analyse the foreign exchange market, stock market and money market to observe if dynamics of inter-market return and volatility transmission mechanism exist. Compared to traditional studies evaluating Foreign Exchange Spot, SSE Composite Index and Shanghai Interbank Offered Rate (SHIBOR) in financial market, this study takes exchange market pressure (EMP) and Earning Rate of Yuebao as the proxy variables of both foreign exchange market and money market. It provides financial market and inter-market volatility transmission a better way to evaluate even deeply market dynamics. The result shows, when EMP is considered as the proxy variables of foreign exchange markets, there is an asymmetric volatility spillover and an inter-market return for money market variables. In a stock market, EMP possesses an inter-market return, and the bilateral volatility spillover and an asymmetric volatility spillover system occur. Additionally, for proxy variables in money market, the Interest Rate of Yuebao has a return and volatility transmission effect on EMP. In stock market, however, Yuebao has both bilateral return and volatility transmission. According to the result of this study, EMP and Interest Rate of Yuebao are more suitable to better represent the market status compared to the traditional spot foreign exchange and interbank offered rate. An obvious transmission system thus exists in other financial markets. To conclude, this research provides policies and a keen observation for investors regarding the market dynamics information.