浅析我国推出股指期货的功能与作用

股指期货作为一种新型的金融衍生工具即将在我国推出,必将成为我国证券市场发展的一个里程碑.文中介绍了股指期货的概念及特点,并分析了股指期货的功能及其作用.     

Cross-region risk spillover between the stock and stock index futures markets under exogenous shocks

By integrating the stock and futures markets of mainland China and Hong Kong into the same financial system, we explore the cross-region risk spillovers between the stock market and stock index futures market under the impact of exogenous events. We find evidence of significant risk spillovers between the two stock markets, and confirm that exogenous shocks, including the adjustments of regulatory policies of mainland China and 2019 Hong Kong Protest, can significantly affect the volatility spillover across assets and markets. Our findings can potentially help regulators and investors understand the cross-region risk conduction and assess portfolio risk after exogenous event.     

关于我国推行股票指数期货的可行性分析

随着金融体制改革的不断深入,资本市场法律法规体系的建立健全和证监会监管能力的提高熏我国已具备了一定的推出新的金融衍生产品的市场条件,文章结合股指期货的功能和作用与我国股票市场的实际情况,分析了目前在我国开展股指期货交易的可行性。     

Extreme risk transmission channels between the stock index futures and spot markets: Evidence from China

We develop a skewness-dependent multivariate conditional autoregressive value at risk model (SDMV-CAViaR) to detect the extreme risk transmission channels between the Chinese stock index futures and spot markets. The proposed SDMV-CAViaR model improves the forecast performance of extreme risk by introducing the high-frequency realized skewness. Specifically, the realized skewness has a significant impact on the spillovers, but the realized volatility and realized kurtosis do not, which implies that the jump component plays an important role in extreme risk spillovers. The empirical results indicate there are bidirectional extreme risk spillovers between the stock index futures and spot markets, the decline of one market has direct and indirect channels to exacerbate the extreme risk of the other market. Firstly, the market decline will directly increase the extreme risk of related markets by decreasing market returns. Besides, the decline will indirectly increase the extreme risk by increasing the negative realized skewness and extreme risk spillovers.     

The Effect of Market Quality on the Causality between Returns and Volatilities: Evidence from CSI 300 Index Futures

This paper investigates the impact of market quality on volatility asymmetry of CSI 300 index futures by using short- and long-run causality measures proposed by Dufour et al. (2012). We use a high-frequency-based noise variance estimator as the comprehensive proxy for market quality and find that volatility asymmetry is closely related to market quality. Specifically, in the period of poor market quality, the volatility asymmetry will vanish or even be reversed, which is mainly due to the sharp decline of the leverage effects. Moreover, the volatility feedback effect will be enhanced while the leverage effect will be weakened if the noise variance is taken into consideration in the causal analysis. Finally, we use other market quality indices as auxiliary variables in the robustness analysis and get similar results.     

Time-dependent lead-lag relationships between the VIX and VIX futures markets

We utilize the symmetric thermal optimal path (TOPS) method to examine the dynamic interaction patterns between the VIX and VIX futures markets for the period March 26, 2004 to June 19, 2017. We document that the VIX dominates the VIX futures more in the first few years, especially before the introduction of VIX options. We further observe that the TOPS paths show an alternate lead-lag relationship instead of a dominance between the VIX and VIX futures in most of the time periods. Meanwhile, we find that the VIX futures have been increasingly more important in the price discovery since the launch of several VIX ETPs.     

Dynamic relationships between industry returns and stock market returns

Different from prior studies which concentrate on the unidirectional impact of industry leading, this study examines the bi-directional dynamical causal relation between industry returns and stock market returns by considering multiple structural breaks for ten major eastern and southern Asia countries. Our results show that finance and consumer service industry returns have significant power in explaining the movements of market returns. Further, we apply logit regressions to explore the determinants of the leading hypotheses and find exchange rate and interest rate are important in explaining the industry–market nexus. In a developed market the industry and the market have feedback relations, but in a highly controlled economy the influence from the stock market dominates.     

Dispersed initial ownership and the efficiency of the stock market under moral hazard

We generalize a standard general equilibrium framework extended for moral hazard to allow for a dispersed initial ownership distribution of firms. We show that the market allocation is constrained-efficient only when in each firm the entrepreneur who generates payoffs through unobservable effort has full initial ownership in his firm.     

Geopolitical risks and stock market dynamics of the BRICS

This paper examines the effect of geopolitical uncertainty on return and volatility dynamics in the BRICS stock markets via nonparametric causality-in-quantiles tests. The effect of geopolitical risks (GPRs) is found to be heterogeneous across the BRICS stock markets, suggesting that news regarding geopolitical tensions do not affect return dynamics in these markets in a uniform way. GPRs are generally found to impact stock market volatility measures rather than returns, and often at return quantiles below the median, indicating the role of GPRs as a driver of bad volatility in these markets. While Russia bears the greatest risk exposure to GPRs in terms of both return and volatility, India is found to be the most resilient BRICS nation in the group. Noting that geopolitical shocks and in particular terrorist incidents are largely unanticipated, our findings underscore the importance of a strong financial sector that can help return the market to stability and an open economy that allows local investors to diversify country-specific risks in their portfolios.     

Individual investors surpass their reputation: Trading behaviour on the Polish futures market

This paper examines individual investors’ trading behaviour by testing the presence of Monday and January anomalies on the Polish futures market, where individuals are the predominant trader type. Both anomalies are well established in the literature, and they are at least partially attributed to individual investors’ trading activities. We conduct an intraday analysis of trading volume, open interest, returns, and return volatility on the futures market in Poland and find the contribution of individuals to market anomalies to be grossly overstated. Hence, individual investors’ trading on the Polish futures market surpasses the prediction by the majority of investigations for mature stock markets.     

Forecasting stock index price using the CEEMDAN-LSTM model

This paper uses a mixture model that Long Short-Term Memory (LSTM) combines with Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (CEEMDAN) to forecast stock index price of Standard & Poor's 500 index (S&P500) and China Securities 300 Index (CSI300). CEEMDAN decomposes original data to obtain several IMFs and one residue. The LSTM forecasting model utilizes the decomposed data to obtain the prediction sequences. The prediction sequences are reconstructed to gain final prediction. The paper introduces contrast models such as Support Vector Machine (SVM), Backward Propagation (BP), Elman network, Wavelet Neural Networks (WAV) and their mixture models combined with the CEEMDAN. The MCS test is used as evaluation criterion and empirical results present that forecasting effects of CEEMDAN-LSTM is optimal in developed and emerging stock market.     

The effect of short-sale restrictions on the information transmission of extended index futures trading

During the global financial crisis, two types of short-sale restrictions, i.e., the uptick restriction and the naked short-sale ban, were introduced in the Taiwan Stock Exchange (TWSE). This provides an opportunity to examine whether these two types of short-sale restrictions reduce the speed at which the overnight spot returns and the trading period spot returns adjust to the bad news revealed through the index futures returns during the post-close and pre-open extensions. The results of the threshold GARCH(1,1) model show that only the short-sale ban significantly reduced the speed at which the overnight spot returns react to the bad news revealed by the futures returns of the TWSE index during the pre-open extended session     

Independent component analysis for realized volatility: Analysis of the stock market crash of 2008

This paper investigates the factors that drove the U.S. equity market returns from 2007 to early 2010. The period was highlighted by volatile energy and commodity prices, the collapse of insurance and banking firms, extreme implied volatility and a subsequent rally in the overall market. To extract the driving factors, we decompose the returns of the S&P500 sector ETFs into statistically independent signals using independent component analysis. We find that the generated factors have interesting financial interpretations and are consistent with the major economic themes of the period. We find that there are two sets of general market betas during the period along with a dominant factor for energy and materials sector. In addition, we find that the EGARCH model which accommodates asymmetric responses between returns and volatility can plausibly fit the high levels of variance during the crash. Finally, estimated correlations dropped when commodity prices moved higher, but then spiked when the S&P500 crashed in late 2008.     

The dynamic impact of oil price shocks on the stock market and the USD/RMB exchange rate: Evidence from implied volatility indices

Using daily data from March 16, 2011, to September 9, 2019, we explore the dynamic impact of the oil implied volatility index (OVX) changes on the Chinese stock implied volatility index (VXFXI) changes and on the USD/RMB exchange rate implied volatility index (USDCNYV1M) changes. Through a TVP-VAR model, we analyse the time-varying uncertainty transmission effects across the three markets, measured by the changes in implied volatility indices. The empirical results show that the OVX changes are the dominant factor, which has a positive impact on the USDCNYV1M changes and the VXFXI changes during periods of important political and economic events. Moreover, USDCNYV1M changes are the key factor affecting the impact of OVX changes on VXFXI changes. When the oil crisis, exchange rate reform, and stock market crash occurred during 2014–2016, the positive effects of uncertainty transmission among the oil market, the Chinese stock market, and the bilateral exchange rate are significantly strengthened. Finally, we find that the positive effects are significant in the short term but diminish over time.     

Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method

Based on the variational mode decomposition and quantile model, this article examines the response of BRICS stock prices to shocks of internal and external macroeconomic factors in different market states and over various investment horizons. The results of quantile regression show that the influence of each factor is complex and changeable across countries, market states, and time horizons, thus exhibiting obvious differences. Nevertheless, these coefficients also show a certain degree of similarity. Besides, we find the relationship between stock prices and macroeconomic variables behaved notably differently during the financial crisis in 2008 compared to other periods. Therefore, paying attention to the investment horizon and market state has extraordinary significance for various market participants.