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我国股指期货与现货市场信息传递与波动溢出关系研究
引用本文:邢精平,周伍阳,季峰.我国股指期货与现货市场信息传递与波动溢出关系研究[J].证券市场导报,2011(2).
作者姓名:邢精平  周伍阳  季峰
作者单位:深圳证券交易所;深圳大学;
基金项目:国家自然科学基金(项目编号:70703024)
摘    要: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。

关 键 词:股指期货  多元T-GARCH模型  信息传递  波动溢出  

Information transmission and volatility spillover in China's stock index futures market and spot market
Xing Jingping,Zhou Wuyang,Ji Feng.Information transmission and volatility spillover in China's stock index futures market and spot market[J].Securities Market Herald,2011(2).
Authors:Xing Jingping  Zhou Wuyang  Ji Feng
Institution:Xing Jingping,Zhou Wuyang,Ji Feng
Abstract:Relationship between stock index futures and spot markets has been a focus of the securities regulation.Based on one minute high frequency data in China stock index futures market,this paper applies several econometric tools such as vector error correction model,variance decomposition and multiple T-GARCH models to study the information transmission and volatility spillover between the HS300 index futures market and the spot market.The empirical research results show that the short-term mutual leading relat...
Keywords:stock index futures  MV-T-GARCH model  information transmission  volatility spillover  
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