中国股指期货与股票现货市场之间的风险传递效应研究

Risk Transmission between Stock Index Futures and Stock Index Spot Markets in China

为探索股指期货市场与股票现货市场之间的风险传递效应,本文从日间交易信息和隔夜信息两个角度对沪深300股指期货市场和沪深300指数现货市场进行了实证研究。实证结果显示:股指期货市场与股票现货市场之间的风险传递是双向的,股票现货对股指期货的风险溢出要大于股指期货对股票现货的风险溢出;并且,一市场收益对另一市场收益的影响具有正向杠杆效应,一市场风险对另一市场风险的冲击却具有反向杠杆效应;此外,尽管只有股指期货市场的隔夜信息对其日间收益具有预测能力,但任一市场的隔夜信息对另一市场的日间波动均存在显著的冲击效应。

For investigating the risk transmission between the stock index futures and stock index spot markets in China,the article investigate HS 300 stock index futures and HS 300 stock index markets from intraday information and overnight information aspects.The empirical results indicate that there are the significant bi-directional risk transmission relationships in two markets.And the risk spillovers from spot to futures are larger than the other way around.Moreover,there is a positive leverage effect from one market to the other in returns,whereas there is a negative leverage effect from one market to the other in risk.In addition,there are prominent impacts of overnight information of one market on intraday volatility of the other market,although there is evident forecast ability of overnight information to intraday returns only in futures market.