Empirical study on dynamic transmission of volatility among financial markets

被引：0
|
作者：
Jie, Dong [1 ,2 ]
Heping, Pan [1 ,2 ,3 ]
Yiyong, Yao [1 ,2 ,4 ]
Ying, Luo [5 ]
Xu, Yang [6 ]
机构：
[1] Prediction Research Center, University of Electronic Science and Technology of China, China
[2] School of Economics and Management, University of Electronic Science and Technology of China, China
[3] Chongqing Finance Institute, School of Economics, Sichuan University, China
[4] Tianfu College of Southwestern, University of Finance and Economics, China
[5] Countinuing Education College, Chengdu Technological University, China
[6] College of Physical Science and Technology, Sichuan University, China
来源：
Journal of Convergence Information Technology | 2012年 / 7卷 / 21期
关键词：
Commerce - Crude oil - Value engineering - Impulse response;
D O I：
10.4156/jcit.vol7.issue21.40
中图分类号：
学科分类号：
摘要：
This paper adopts econometric analysis methods, such as cointegration test, VAR model, the Granger causality test and impulse response functions to empirically study the Dynamic Transmission of volatility among financial markets. This paper quantitatively describes the impact size and time lag of the interactive financial markets, and analyzes the contributions by different financial market shocks. The empirical results show that there are long-term stable equilibrium relationships among the stock market, gold market, crude oil spot market and futures markets. The dynamic transmission effects between the financial markets are obvious, and the duration of transmission effects is short.
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页码：323 / 332
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