沪深300股指期货与现货的波动关系研究

随着高频数据获取的便利性,采用高频数据研究金融市场的波动越来越普遍。沪深300股指期货市场的迅速发展使得股指期货与现货市场的波动关系研究成为热点。采用MEM模型,对股指期货与现货市场的连续成分(连续样本路径方差)之间和跳跃成分(离散跳跃方差)之间的关系进行研究。结果表明,现货跳跃成分对期货跳跃成分的溢出效应大于期货跳跃成分对现货跳跃成分的溢出效应;现货连续成分对期货连续成分的溢出效应大于期货连续成分对现货连续成分的溢出效应。现货与期货之间的波动溢出效应主要体现在二者的连续成分上。

Research on Fluctuation Relationship Between HuShen 300 Index Stock Index Future and Spot

Along with the convenience of high frequency data acquisition,the high frequency data has been adopted to research the fluctuation of financial market more and more common.The rapid development of HuShen 300 Index stock index future market makes the fluctuation relationship between stock index future and spot market has become a hotspot for research.Utilize the MEM model to research the relationships between continuous components (continuous sample path variance) of and jump components (discontinuous jump variation) of stock index future and spot market.The empirical results show that the overflow effect of spot jump component on future jump component is bigger than the overflow effect of spot continuous component on future continuous component.The fluctuation overflow effect between spot and future is mainly reflected in the continuous component between those two.