沪深300股指期货与现货市场间风险传染效应及影响因素

本文选取2005—2019年我国沪深300股指期货和沪深300股票指数日收盘价数据,结合股票推出时间、股价波动性,设置样本组、对照组,运用GARCH模型、DCC-GARCH模型、Granger因果关系检验及多元线性回归模型分析了沪深300股指期货与现货间的风险传染效应及影响因素,并结合研究结论提出对策,以期促进资本市场健康发展。结果表明:沪深300股指期货市场与现货市场间存在双向的风险传染效应,且经DCC-GARCH模型分析表明风险传染效应在动荡期尤为明显;影响这种风险传染效应的因素有很多,主要表现为微观因素中的股票市场流动性和股票市场不确定性与极端事件两个方面。

Risk Contagion Effect and Influencing Factors Between Shanghai-Shenzhen 300 Shares Index Futures and Spot Market

Selecting Shanghai-Shenzhen 300 index futures and its data of daily closing data,combining with stock launching time and the stock price volatility,the sample group and the control group are set,risk contagion effect and influencing factors between Shanghai-Shenzhen 300 shares index futures and spot market are analyzed by using GARCH model,DCC-GARCH model,Granger causality test and multivariate linear regression model.The relevant countermeasures are proposed in this paper combing with the research conclusion to promote the healthy development of capital market.The results show that there is a two-way risk contagion effect between the futures market of Shanghai-Shenzhen 300 shares index and the spot market,and the DCC-GARCH model analysis shows that the risk contagion effect is particularly obvious during the period of turbulence.There are many factors that affect the risk contagion effect,mainly including the stock market liquidity,stock market uncertainty and extreme events in the micro factors.