我国股指期货市场与股票市场溢出效应研究
发布时间：2018-09-18 18:15
【摘要】：运用基于结构向量自回归模型的溢出指数,检验我国沪深300股指期货与沪深300指数收益率间静态和动态的波动溢出效应和信息溢出效应。结果表明,在股指期货市场未限制交易前,我国沪深300股指期货收益率波动对沪深300指数收益率波动具有显著正向净溢出效应,沪深300股指期货成交量对沪深300指数收益率波动也具有显著正向净溢出效应;在股票市场剧烈波动时,波动溢出效应和信息溢出效应均会增加,沪深300股指期货成交量的增加会放大股指期货对现货的波动溢出效应。因此,在我国股票市场持续不稳定波动的背景下,对股指期货成交量和波动进行合理的管制,可降低期货市场对股票市场的波动溢出效应,进而有效防范资本市场风险。
[Abstract]:By using the spillover index based on structural vector autoregressive model, the static and dynamic volatility spillover effect and information spillover effect between CSI 300 stock index futures and CSI 300 index yield are tested. The results show that the volatility of Shanghai and Shenzhen 300 stock index returns has a significant positive net spillover effect on the volatility of Shanghai and Shenzhen 300 index returns before the stock index futures market is not restricted. The trading volume of Shanghai and Shenzhen 300 stock index futures also has a significant positive net spillover effect on the volatility of Shanghai and Shenzhen 300 index returns, and the volatility spillover effect and information spillover effect will increase when the stock market fluctuates violently. The increase of trading volume of Shanghai and Shenzhen 300 stock index futures will amplify the volatility spillover effect of stock index futures on spot. Therefore, under the background of persistent unstable fluctuation of stock market in our country, reasonable regulation on the trading volume and fluctuation of stock index futures can reduce the volatility spillover effect of futures market on stock market, and then effectively guard against the risk of capital market.
【作者单位】： 吉林大学经济学院;吉林大学国有经济研究中心;
【基金】：国家建设高水平大学公派研究生项目(编号:201606170156) 吉林大学研究生创新基金资助项目(编号:2016007)的成果
【分类号】：F724.5
[Abstract]:By using the spillover index based on structural vector autoregressive model, the static and dynamic volatility spillover effect and information spillover effect between CSI 300 stock index futures and CSI 300 index yield are tested. The results show that the volatility of Shanghai and Shenzhen 300 stock index returns has a significant positive net spillover effect on the volatility of Shanghai and Shenzhen 300 index returns before the stock index futures market is not restricted. The trading volume of Shanghai and Shenzhen 300 stock index futures also has a significant positive net spillover effect on the volatility of Shanghai and Shenzhen 300 index returns, and the volatility spillover effect and information spillover effect will increase when the stock market fluctuates violently. The increase of trading volume of Shanghai and Shenzhen 300 stock index futures will amplify the volatility spillover effect of stock index futures on spot. Therefore, under the background of persistent unstable fluctuation of stock market in our country, reasonable regulation on the trading volume and fluctuation of stock index futures can reduce the volatility spillover effect of futures market on stock market, and then effectively guard against the risk of capital market.
【作者单位】： 吉林大学经济学院;吉林大学国有经济研究中心;
【基金】：国家建设高水平大学公派研究生项目(编号:201606170156) 吉林大学研究生创新基金资助项目(编号:2016007)的成果
【分类号】：F724.5
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