首页> 中文期刊>山东大学学报(哲学社会科学版) >股指期货与股指现货之间价格发现与波动溢出效应研究--基于沪深300股指期货高频数据的实证分析

股指期货与股指现货之间价格发现与波动溢出效应研究--基于沪深300股指期货高频数据的实证分析

     

摘要

Stock index future is one of the most important financial derivatives in capital market,so it becomes the center of attention among many researchers in this field.In order to study its ability to resolve new information and the risk spill-over effect between stock index and the stock market, using 5-min high frequency data,we test for the co-integration relationship between HS300 stock index future and HS300 stock index,and then we use vector error correction model to test for the Lead-lag relationship between them.The results show that stock index futures have stronger price discover ability.In addition,by using BEKK-GARCH model,it is proved that there are significant volatility spill-over effect between these two markets.%股指期货不仅是当今资本市场上最受关注的金融产品,也是最有活力的风险管理工具之一。也自然而然成为当前金融前沿研究领域中的热点。为了深入探究股指期货市场对新信息的吸收能力,考察股指期货市场与股指现货市场之间的风险传递效应,从实证角度考察沪深300股指期货和股指现货之间的相互作用,利用5分钟高频数据,验证了两者之间的协整关系,进一步运用向量误差修正模型证明了两者互为 Granger 原因;同时发现,股指期货的引导能力较强。另外,在波动溢出方面,运用 BEKK-GARCH 模型,证明两者存在相互的波动溢出效应。

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