| 沪深300股指期货价格跳跃行为对现货价格及其波动性的影响 |
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| 引用本文： | 刘建桥,孙文全.沪深300股指期货价格跳跃行为对现货价格及其波动性的影响[J].五邑大学学报(自然科学版),2012,26(2):45-51. |
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| 作者姓名： | 刘建桥 孙文全 |
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| 作者单位： | 上海大学经济学院金融系,上海,200444 |
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| 基金项目： | 上海市教育委员会科研创新项目资助 |
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| 摘 要： | 采集2010年4月16日至2011年12月23日期间沪深300指数每日收盘价和沪深300指数期货每日结算价等数据,运用GARCH（1,1）-ARJI模型扩展的GARCH（1,1）-M-ARJI模型,探讨了沪深300股指期货价格的跳跃行为对现货价格及其波动性的影响.研究发现,沪深300股指期货价格的跳跃行为具有价格发现功能,当期的期货价格跳跃行为显著地影响当期现货价格和现货价格的波动.
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| 关 键 词： | 沪深300股指期货 价格跳跃行为 价格发现 GARCH（1 1）-M-ARJI模型 |
The Effect of the CSI-300 Futures Price Jump Behavior on Spot Prices and Volatility |
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| LIU Jian-qiao,SUN Wen-quan.The Effect of the CSI-300 Futures Price Jump Behavior on Spot Prices and Volatility[J].Journal of Wuyi University(Natural Science Edition),2012,26(2):45-51. |
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| Authors: | LIU Jian-qiao SUN Wen-quan |
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| Institution: | (Department of Finance,School of Economics,Shanghai University,Shanghai 200444,China) |
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| Abstract: | This paper investigates the effects of futures price jump behavior on spot price and volatility by collecting the daily closing prices of CSI 300 and their futures prices from April 16,2010 to December 23,2011,and employing the GARCH-ARJI model proposed by Chan and Maheu(2002).The study reveals that the jump behavior of futures prices of CSI 300 is of the price-discovering function: the price jump of current futures behavior significantly affects the current spot prices and spot price fluctuations. |
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| Keywords: | CSI 300 Index Futures price jump behavior price discovery GARCH(1 1)-M-ARJI model |
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