沪深300股指期货与沪深300股价指数波动溢出效应.docVIP

沪深300股指期货市场与股指现货市场的溢出效应 张学东1 刘运涛2 胡光敏3 1.北方民族大学金融研究所，银川市，宁夏，中国，750021 2.3.北方民族大学信息与计算科学学院，银川市，宁夏，中国，750021 1. E-mail: zhangxuedong@ 2. E-mail: luiyuntao2211@163.com 3. E-mail: huguangmin2007@163.com 摘要： 2010年4月16日，中国金融期货交易所推出了以沪深300股指为标的的股指期货交易，这是中国资本市场发展又迈向一个新台阶，对发育和完善中国资本市场体系具有重要而深远的意义。沪深300股指期货能否发挥价格发现功能亟需实证分析。本文以2010年4月16日至5月21日合约结算日的第一份合约IF1005的高频数据为样本，用VAR模型和二元GARCH模型研究了沪深300股指期货市场与沪深300股指现货市场的收益率及波动率的溢出效应。研究结果表明，沪深300股指期货市场与沪深300股指现货市场之间存在着收益率溢出效应，并且存在着波动溢出效应；沪深300股指期货市场的波动率有引导沪深300股指现货市场波动率的特性。 关键词：沪深300股指；股指期货；VAR模型；溢出； Empirical Test on the Interaction Relationship between Hu-Shen 300 Stock Index and Hu-Shen 300 Stock Index Future ZHANG Xuedong1, LIU Yuntao 2, HU Guangmin 3 1. Institute of Finance, BeiFang University for Nationalities, Yinchuan, NingXia, 750021, CHINA 2.3. School of Information and Computation Science, BeiFang University for Nationalities, Yinchuan, NingXia, 750021, CHINA 1. E-mail: zhangxuedong@ 2. E-mail: luiyuntao2211@163.com 3. E-mail: huguangmin2007@163.com Abstract: on April 16, 2010, the exchange of the stock index futures, arising in the Chinese security market. And the Chinese government has been enacting the first stock index futures, based on Hu-Shen300 index, which is a big step in Chinese financial market. “Price Discovery” is one of the main functions of the Stock Index Futures. It is essential to analyze this function. Using the financial time series analysis method, we analyze the interactive relationships between the Hu-Shen300 index and Hu-Shen300 index futures, respectively from the sequence of yield and volatility sequence. The co-integration relationship between the Hu-Shen300 index and Hu-Shen300 index futures means a long-term equilibrium. The result of Granger causality test shows that the futures market leading the spot market. Meanwhile, the error correction model, impulse response function and Hasbrouck variance decomposition further been used to check the relationship between the two markets. Keywor