| 我国股指期货市场的价格发现与波动溢出效应 |
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| 引用本文： | 严敏,巴曙松,吴博.我国股指期货市场的价格发现与波动溢出效应[J].系统工程,2009(10). |
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| 作者姓名： | 严敏 巴曙松 吴博 |
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| 作者单位： | 中国科学技术大学管理学院;国务院发展研究中心金融所; |
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| 摘 要： | 借助向量误差修正模型、公共因子模型和带有误差修正的双变量EGARCH模型,对沪深300股指期货市场和现货市场之间的价格发现功能以及互动关系进行了研究和分析,研究结论表明:目前指数现货市场在价格发现中起到主导作用,且两个市场之间不存在显著的非对称双向波动溢出效应,但是指数期货价格和现货价格之间存在长期的均衡关系、短期的双向Granger因果关系。
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| 关 键 词： | 股指期货 价格发现 波动溢出 |
Price Discovery and Volatility Spillovers of Stock Index Futures Markets in China |
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| YAN Min,BA Shu-song,WU Bo.Price Discovery and Volatility Spillovers of Stock Index Futures Markets in China[J].Systems Engineering,2009(10). |
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| Authors: | YAN Min BA Shu-song WU Bo |
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| Institution: | YAN Min1,BA Shu-song1,2,WU Bo1(1.School of Management,University of Science and Technology of China,Hefei 230026,China,2.Research Institute of Finance,Development Research Center of the State Council,Beijing 100010,China) |
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| Abstract: | This paper investigates the price discovery function,the linkages and interactions between the futures and spot markets of Hu-Shen 300 stock indexes with a VEC model,common factor models and a modified bivariate EGARCH model with an error correction.The evidence suggests that there is a long-run cointegration,a short-term bidirectional Granger relationship between the futures and spot markets,although most of the price discovery takes place at the spot markets for the moment and significant asymmetric volat... |
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| Keywords: | Stock Index Futures Price Discovery Volatility Spillover |
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