中国股指期货和现货市场信息传导关系在牛熊市中的异化现象

本文采用牛熊市的视角,根据市场的历史周期的判断结果,分别提取我国沪深300牛市和熊市样本窗口,使用了BVGJR-GARCH-BEKK模型和LM跳跃检验法,从价格发现、波动溢出和跳跃风险三个方面对股指期货和现货市场间的信息传导关系的异化现象进行了实证研究.结果表明,牛市时股指期货市场发挥主要的长期价格发现作用,熊市时两个市场存在双向的价格发现,过分自信效应可以解释这一异化现象.两个市场在牛熊市都存在双向的波动溢出,但非对称性的方向相反.熊市时两个市场上都检验出了更多的跳跃行为,熊市下股指期货市场的跳跃风险来自于未预期到的信息.

Difference of information transmission between the Chinese stock and index futures markets

This paper uses a special perspective to document the difference phenomenon in bull and bear markets by studying the information transmission between the Chinese stock index futures and spot market. We extract the bull and bear market data samples respectively based on the historical market performance and apply BVGJR-GARCH-BEKK model and LM jump test method to examine the price discover, volatility spillover and jump risk. The empirical results indicate that futures market plays the leading role in the long-term price discovery in the bull market while price discovery is mutual in the bear market. Overconfidence effect can provide explanation of the difference. Furthermore, we find that there is an asymmetric volatility spillover effect between futures and spot markets. Besides, there are more jumps in the bear market from the unexpected information.