Jump spillover between Chinese stock market and stock index futures market

摘要

This paper examines jump spillover effects between Chinese stock market and stock index futures market.In order to identify the latent historical jump times,we use a Bayesian approach to estimate an event risk model on Chinese large-cap stocks and benchmark index of stock index futures,which supplements the study by Asgharian and Bengtsson (2006).We find significant evidence of jump spillover effects at the same time as well as 5 minutes leading from large-cap stocks to benchmark index.Our empirical results facilitate more effective stock index futures market design.