摘要
期货市场和现货市场的波动溢出效应是研究利率市场发展的信息流动、风险传递的重要内容。本文主要采用GARCH-M模型对中国台湾期货市场和现货市场的价格收益率和波动性进行研究,发现两个市场波动性之间存在非对称性,期货市场对现货市场存在单向显著溢出效应和重要影响。
The reseach on the volatility spilllover effects between futures market and spot market is important to realize the information flow and risk transfer of development of interest market. In the paper, we made research for futures price return and volatilities between Futures Market and Spot Market in Taiwan of China through GRACH - M model. It show that there are asymmetry volatility relation and important influence between two markets and significant single - direction spillover effect of futures market to spot market.
出处
《台湾研究集刊》
CSSCI
2009年第1期63-69,共7页
Taiwan Research Journal
