Please use this identifier to cite or link to this item:
Xiong, Zhengde
Han, Lijun
Year of Publication: 
[Journal:] Financial Innovation [ISSN:] 2199-4730 [Volume:] 1 [Year:] 2015 [Issue:] 9 [Pages:] 1-12
The volatility spillover effect between the foreign exchange and stock markets has been a major issue in economic and financial studies. In this paper, GC-MSV model was used to study the spillover effect between the foreign exchange market and the stock market after the reform of the RMB exchange rate mechanism. The empirical results show that there is a negative correlation of dynamic price spillovers between the foreign exchange and stock markets. There are asymmetric volatility spillover effects between these two markets for both RMB stages-continued RMB appreciation or constant RMB shock (a significant reduction in appreciation). However, this has been reduced over time. In conclusion, The RMB exchange rate is a key variable that can affect the internal and external equilibrium of the national economy in an open economic environment, and the stock market is capable of quickly reflecting subtle changes in the real economy. In order to keep the stability of the financial markets and the healthy and rapid development of national economy, some suggestions were proposed.
Financial markets
Volatility spillover effect
GC-MSV model
Persistent Identifier of the first edition: 
Additional Information: 
The Creative Commons Public Domain Dedication waiver ( applies to the data made available in this article, unless otherwise stated.
Creative Commons License:
Document Type: 

Files in This Item:

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.