我国股指期货市场的价格发现与波动溢出效应被引量：126

Price Discovery and Volatility Spillovers of Stock Index Futures Markets in China

导出

摘要借助向量误差修正模型、公共因子模型和带有误差修正的双变量EGARCH模型,对沪深300股指期货市场和现货市场之间的价格发现功能以及互动关系进行了研究和分析,研究结论表明:目前指数现货市场在价格发现中起到主导作用,且两个市场之间不存在显著的非对称双向波动溢出效应,但是指数期货价格和现货价格之间存在长期的均衡关系、短期的双向Granger因果关系。 This paper investigates the price discovery function, the linkages and interactions between the futures and spot markets of Hu-Shen 300 stock indexes with a VEC model, common factor models and a modified bivariate EGARCH model with an error correction. The evidence suggests that there is a long-run cointegration, a short-term bidirectional Granger relationship between the futures and spot markets, although most of the price discovery takes place at the spot markets for the moment and significant asymmetric volatility-spillovers are not found.

作者严敏巴曙松吴博

机构地区中国科学技术大学管理学院国务院发展研究中心金融所

出处《系统工程》 CSCD 北大核心 2009年第10期32-38,共7页 Systems Engineering

关键词股指期货价格发现波动溢出 Stock Index Futures Price Discovery Volatility Spillover

分类号 F830 [经济管理—金融学]

引文网络
相关文献

参考文献15

1Garbade K D, Silber W L. Price movement and price discovery in futures and cash markets[J]. Review of Economics and Statistics, 1983, (65) : 289-297.
2Kawaller I G, Koch P D, Koch T W. The temporal price relationship between S&P 500 futures and the S&P 500 index[J]. Journal of Finance,1987, (42): 1309-1329.
3Brooks C, Rew A G, Ritson S. A trading strategy based on the lead-lag relationship between the spot index and futures contract for the FTSE 100[J]. International Journal of Forecasting, 2001, (17) : 31- 44.
4Baillie R T, Booth G G, Tse Y, Zabotina T. Price discovery and common factor models[J]. Journal of Financial Markets, 2002, (5) : 309 - 321.
5Hasbrouck J. Stalking the "efficient price" in market microstructure specifications : an overview[J]. Journal of Financial Markets, 2002, (5) : 329 - 339.
6Booth G G, So R W, Tse Y. Price discovery in the German equity index derivatives markets[J].Journal of Futures Markets,1999, (19):619-643.
7Hasbrouck J. Intraday price formation in U. S. equity index markets[J]. Journal of Finance, 2003, (58) : 2375-2400.
8Chan K, Chan K C, Karolyi G A. Intraday volatility in the stock index and stock index futures markets [J].Review of Financial Studies, 1991, (4) : 657 -684.
9Koutmos G, Tucker M. Temporal relationships and dynamic interactions between spot and futures stock markets[J]. Journal of Futures Markets, 1996, (16) : 55-69.
10Tse Y. Price discovery and volatility spillovers in the DJIA index and futures rnarkets[J]. Journal of Futures Markets, 1999, (19) : 911-930.