利率期货推出对现货市场的冲击效应——基于香港市场的经验证据

The Shock Effect of Introducting Interest Rate Futures to Spot Market:Empirical Evidence from Hong Kong Market

新兴市场利率期货的引进,对现货市场的动态波动和信息传递一定的冲击效应。本文针对香港市场90天利率期货,应用自回归条件异方差模型(GARCH)和方差比模型(VR),检验利率期货推出前后对现货市场的波动冲击与消息传递效果。实证结果显示,利率期货推出后波动性干扰所造成的影响效果有更快速地向正常水平调整的现象,波动性干扰半衰期大幅减小,但波动率显著增加。同时,利率期货引入后现货市场的收益率序列几乎接近于随机游走过程,所有的信息都立即反映在价格上,信息传递效率提高。

Introduction of interest rate futures results in some extent dynamic shock and information trans- feting in emerging markets. Using Generalised Autoregressive Conditional Heteroskedasticity （GARCH） and variance ratio（VR） model,this paper tests the volatility shock and information transfering effect by 90 days interest rate future in Hong Kong market. The empirical studies releave that shock effect by volatility disturbing moves quickly to normal--adjusted level after introducing interest rate future. The half--life of volatility shocks reduced sharply, but volatility remarkably increased. Menwhile, the return of spot market is close to the process of random walk after introducting interest rate futures,which means the price reflects all information and the efficiency of information transfering is enhanced.