基于高频数据的股指期货与现货市场波动溢出和信息传导研究

本文利用沪深300指数和当月股指期货连续合约的高频数据,采用非参数方法估计日度股票指数和股指期货的整体波动、连续性波动和跳跃,发现两个市场波动成分存在双向的格兰杰因果关系,但是期货市场的跳跃并不会影响后续股票市场的跳跃。此外,已实现相关系数在股指期货上市初期表现出了较大的变动,整体表现出了较强的联动趋势。最后,日内高频价格之间存在稳定的协整关系,两个市场存在双向的信息传导,股指期货的价格发现功能得到发挥。

Volatility Spillover and Information Transmission in China’s Stock Index Futures and Spot Markets:Empirical Evidence from High Frequency Data

Using high frequency CSI 300 stock index and stock index futures data in China,we estimate daily realized variance,realized bipower variation and jump variation based on nonparametric method.It is found that there exists bidirectional Granger causality between the volatilities,but past jumps in futures market do not have impact on jumps of spot market.Moreover,realized correlation coefficient exhibits large variation during the initial period and shows a stronger linkage trend in general.Lastiy,we find that there exists a long-run equilibrium between high frequency index and index futures prices,and the evidence of bidirectional information spillover, which shows that the stock index futures contribute to the price discovery process.