新加坡富时中国A50股指期货的波动溢出效应研究

新加坡富时中国A50是第一只也是境外唯一一只衡量中国A股的股指期货,近年来与A股市场之间联动效应越来越明显。对此,本文采用2006年9月5日至2020年9月30日数据分析不同时段现货与期货的价格关系,基于静态非对称BEKK-GARCH模型与动态DCC-MVGARCH模型检验该股指期货与股指现货在不同频率下的波动溢出效应。实证发现:富时中国A50股指期货和股指现货之间存在长期均衡关系,两者存在双向价格引导关系和波动溢出效应,但随着数据频率变化,溢出效应的强弱会随着数据频率呈现出“U”型变化趋势;与此同时,收益波动序列的动态相关性强弱也呈现出“U”型变化趋势,说明新加坡富时中国A50股指期货的价格发现功能具有一定的时效性。     

股指期货与现货指数的波动溢出效应

以沪深300现货指数与沪深300股指期货指数的月度数据作为研究对象,基于HP滤波分析、Granger因果性检验、向量自回归模型等方法研究了股指期货与股票现货市场间的波动溢出效应,结果表明沪深300股指期货风险与沪深300指数之间不仅存在长期的均衡关系,同时两市场具有双向的波动溢出效应,股指期货市场的波动溢出强于股票现货市场的波动溢出。     

我国股指期货与现货市场信息传递与波动溢出关系研究

股指期货与现货市场关系是监管者关注的重点问题。本文采用我国股指期货上市以来1分钟级高频数据,应用向量误差修正模型、方差分解、多元T-GARCH等,考察期现两市信息传递、波动溢出效应的影响。实证结果表明,尽管股指期货和股票市场之间短期内存在相互引导关系,但股票市场价格变动更多来自于自身影响,起主导作用,而且两市长期均衡收敛也是以股票市场占主导地位;两市存在显著的双向波动溢出,期货市场的波动溢出效应强于股票市场的波动溢出效应;两市场存在明显的非对称效应,期货市场对坏消息更为敏感,而现货市场对好消息更为敏感。     

股指期货市场和现货市场间的协同波动溢出分析

采用GARCH、谱聚类方法、独立成分分析法和Granger因果检验模型相结合的方法对欧洲主权债务危机背景下的全球主要股指期货市场和现货市场间的协同波动溢出效应进行实证分析。实证结果表明股指期货市场和现货市场间具有双向协同波动溢出效应。相对而言,股指期货市场对现货市场间的协同波动溢出效应更明显,协同波动溢出程度与相应国家金融市场的发达程度有直接关系。因此有关当局进行监管时不仅做要到全球不同国家间的相互协调,与此同时还需要关注和防范风险在股指期货市场和现货市场间的相互传染。另外,我国的股指期货市场和股票市场还需进一步改革和发展。     

我国股指期货市场与现货市场的信息传递效应研究

本文采用二元VAR-EGARCH与信息传递速度模型对我国股指现货和期货市场之间的信息传递效应与传递速度进行了详细的实证分析,结果表明:我国股指期货与现货市场已存在显著的双向价格关系和双向波动溢出效应,且信息传递能力正逐步增强,但信息在期货市场传递到现货市场的速度要慢于信息从现货市场传递到期货市场。本文还发现我国股指期货市场存在着显著的正反馈效应。     

股指期货是股灾的“幕后推手”吗——基于2015年股灾期间沪深300股指期货高频数据实证分析

选取2015年6月15日至8月26日股灾期间沪深300股指期货与沪深300指数5分钟高频数据,通过E-G两步协整检验、格兰杰因果检验、脉冲响应模型等,对股灾期间股指期货市场价格发现功能及波动溢出效应进行实证研究.结果表明:股灾期间沪深300股指期货仍具备价格发现功能,但存在对现货市场的单向波动溢出,具有一定的"助跌"效应.     

投资者情绪与动态波动溢出效应——基于上证50指数期现货研究

本文采用有偏项的VECM-CCC-GARCH等模型来分析投资者情绪对上证50指数期货和现货市场之间动态波动溢出效应的影响。分析发现,首先,投资者情绪高涨时期,指数现货市场交易量增加显著强于指数期货市场。其次,较高的投资者情绪对现货市场波动的影响要强于对股指期货市场波动的影响。最后,投资情绪高涨时期,期货和现货市场之间波动溢出效应显著增强,且现货向期货市场波动溢出效应显著增强。     

我国股票期现货市场间的溢出效应研究--基于1分钟高频数据的实证检验

本文以我国沪深300股指期现货为研究对象,采用2012年4月16日—2014年3月20日的1分钟高频交易数据,通过构建多元DCC-VARMA-GARCH模型检验了我国股指期现货市场之间的溢出效应。实证结果表明,我国股指期现货市场之间存在双向波动溢出效应,且现货市场的波动溢出效应大于期货市场,而均值溢出效应仅表现为期货市场向现货市场的单向传递。这说明我国股指期货市场已具备基本的价格发现功能,发挥了稳定股票现货市场的作用。     

我国股指期货市场价格发现功能和波动溢出效应研究——基于VECM-DCC-MVGARCH模型

本文对我国股指期货市场的价格发现功能进行了实证研究。首先用Granger因果检验分析了两个市场的因果关系。其次分析了股指期货市场和现货市场之间的领先-滞后关系、波动率传导和条件相关关系。最后通过脉冲响应函数分析了两个市场对信息反应的速度。实证结果表明期货和现货市场互为Granger因果关系,但期货价格发现功能要强于现货市场,期货市场对信息反应速度比现货市场要快,并且从期货市场到现货市场存在显著的波动溢出。     

我国股票期现货市场间的溢出效应研究——基于1分钟高频数据的实证检验

本文以我国沪深300股指期现货为研究对象,采用2012年4月16日—2014年3月20日的1分钟高频交易数据,通过构建多元DCC-VARMA-GARCH模型检验了我国股指期现货市场之间的溢出效应。实证结果表明,我国股指期现货市场之间存在双向波动溢出效应,且现货市场的波动溢出效应大于期货市场,而均值溢出效应仅表现为期货市场向现货市场的单向传递。这说明我国股指期货市场已具备基本的价格发现功能,发挥了稳定股票现货市场的作用。     

Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets

In this paper, we examine the nature of transmission of stock returns and volatility between the U.S. and Japanese stock markets using futures prices on the S&P 500 and Nikkei 225 stock indexes. We use stock index futures prices to mitigate the stale quote problem found in the spot index prices and to obtain more robust results. By employing a two-step GARCH approach, we find that there are unidirectional contemporaneous return and volatility spillovers from the U.S. to Japan. Furthermore, the U.S.'s influence on Japan in returns is approximately four times as large as the other way around. Finally, our results show no significant lagged spillover effects in both returns and volatility from the Osaka market to the Chicago market, while a significant lagged volatility spillover is observed from the U.S. to Japan. This revised version was published online in August 2006 with corrections to the Cover Date.     

Asymmetry in spillover effects: Evidence for international stock index futures markets

The paper investigates the asymmetry in return and volatility spillovers across futures markets with non-overlapping stock exchange trading hours. The transmission of positive and negative return and volatility shocks is analysed for 104 channels of information conveyance identified by combining 9 developed and 11 emerging markets in markets pairs with non-overlapping trading hours. The asymmetric causality test is employed to daily stock index futures returns and volatilities for the period from 03 October 2010 to 03 October 2014. The paper sheds light on the relatively little explored concept of asymmetry in return and volatility spillovers across markets, providing novel evidence on stabilizing and destabilizing spillover effects.     

沪深300股指期货与现货市场的非线性信息溢出与价格发现功能研究

采用线性与非线性Granger因果检验、协整检验和VECM模型,研究了沪深300股指期货和现货市场的线性与非线性信息溢出,并检验了期货市场的价格发现功能发挥情况。研究结果显示:线性信息溢出方面,沪深300股指期货市场对现货市场只有线性均值信息溢出,现货市场对期货市场只存在线性方差信息溢出;非线性信息溢出方面,两个市场之间不存在非线性均值信息溢出,不过二者之间存在显著的非线性方差信息溢出;沪深300股指期、现货市场之间存在着长期均衡的关系,不过不同于成熟市场中期货市场在价格发现方面居于主导地位的结论,我国股指现货市场在价格发现方面占主导地位,而期货市场处于从属地位。     

Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach

This study analyzes the dynamic connectedness between the ESG stock index, the renewable energy stock index, the green bond stock index, the sustainability stock index, and the carbon emission futures by employing a novel method: the DCC-GARCH-based dynamic connectedness approach. Given the strong volatility spillover among these indexes, we adopt the DCC-GARCH t-copula model to calculate these indexes' hedging ratios and portfolio weights. Our findings show that the carbon emission futures are the volatility transmitter, and the green bond is the volatility receiver. The total dynamic connectedness is affected by international political, economic, and other events. Furthermore, for stock market volatility investors, taking the long position in carbon emission futures and the short position in renewable energy stock can achieve the highest hedging effect.     

Dynamic volatility spillovers and investment strategies between the Chinese stock market and commodity markets

Building on the increased interest in the volatility spillover effects between Chinese stock market and commodity markets, this paper investigates the dynamic volatility spillovers of Chinese stock market and Chinese commodity markets based on the volatility spillover index under the framework of TVP-VAR. The result shows that there is a highly dependent relationship between the stock market and commodity markets. On average, the Chinese stock market is the net recipient of spillover, non-ferrous metals and chemical industry have a very obvious spillover impact on the stock market. The degree of total volatility spillover is different in different periods. After major crisis events, the volatility correlation between markets increases. Since the outbreak of COVID-19, the spillover effect of the stock market on the commodity market has been significantly enhanced. Then optimal portfolio weights and hedge ratios are calculated for portfolio diversification and risk management. The result shows that the ability of most commodities to hedge against risks is significantly reduced when the crisis occurs; NMFI (precious metals) and CRFI (grain) still have good hedging ability after the crisis, but the effectiveness of hedging risk is relatively low. Besides, the combination of CRFI and SHCI (the Shanghai composite index) is the most effective for risk reduction.     

Modelling International Price Relationships and Interdependencies Between the Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis

This paper addresses the important relationship between stock index and stock index futures markets in an international context. By simply examining the spot‐futures relationship within a single country as most of the extant literature does and thus ignoring possible market interdependencies between countries, the dynamics of price adjustments may be misspecified and thus findings misleading. The main contribution of the paper is to improve our understanding of the pricing relationship between spot and futures markets in the light of international market interdependencies. Using a multivariate VAR‐EGARCH methodology, the paper investigates stock index and stock index futures market interdependence, that is lead‐lag relationships and volatility interactions between the stock and futures markets of three main European countries, namely France, Germany and the UK. In addition, the paper explicitly accounts for potential asymmetries that may exist in the volatility transmission mechanism between these markets. The main conclusions of the paper imply that investors need to account for market interactions across countries to fully and correctly exploit the potential for hedging and diversification.     

国际商品市场与股票市场的溢出效应——基于中美数据的VAR-MGARCH分析

基于VAR-MGARCH-BEKK模型,对国际商品市场与中美股票市场之间的均值与波动溢出效应进行了经验分析。结果表明,国际商品市场与中美股票市场之间存在着相互的均值溢出效应,国际商品市场对中美股票市场存在波动溢出效应,同时,美国股票市场对国际商品市场存在波动溢出效应;另外,中国应该尽快编制科学合理并适合自身国情的商品指数。     

国际金融市场与国际原油期货市场溢出效应实证检验——基于VAR-BEKK模型的分析

文章通过构建VAR模型和BEKK模型对道琼斯股票市场、美元/欧元汇率市场与国际原油期货市场的动态关系进行了实证检验。结果表明：道琼斯股票市场与WTI原油期货市场存在双向的价格溢出效应,以及前者向后者的单向波动溢出效应;美元/欧元汇率市场存在向WTI原油期货市场单向的价格溢出效应和波动溢出效应。所以,国际原油期货市场与国际金融市场联系紧密,国际原油的金融属性日益体现,其价格变动更多受外部国际金融市场风险影响。