中国股指期货与股票现货市场的风险溢出和联动效应:资本流动三阶段背景的研究

The Study of the Risk Spillover and Linkage Effects in Chinese Stock Index Futures and Stock Spot Market:under the Background of Three-Stage Capital Flows

本文对资本净流入不同阶段下的中国股指期货与股票现货市场的风险溢出和联动效应采用ECM-GARCH-BEKK模型进行了实证研究。总体而言,股指期货市场的波动具有更强的持续性,市场波动溢出效应最高,波动程度也最为明显,对市场的冲击最大,但是只有股票现货市场具有杠杆效应。在资本净流入不同阶段中,市场表现差异:资本净流入递增时资本市场风险波动溢出效应开始加剧,两市之间的风险联动也在加强,股票现货市场对两市的冲击最大。当资本净流入递减时,股市现货和期货市场的持续性增强,但是波动程度有所降低,市场表现出一定独立性。当资本外逃时,股票现货波动溢出效应最高,收益率振幅有所上升,市场处于自我修复过程中,但期货市场的波动对两市冲击最大。通过实证发现,股指期货市场具有价格引导和套期保值功能,只是资本流动的变化会对资本市场起到一定差异影响。

This article about risk spillover and linkage effects of net capital inflow under different stages of the Chinese stock index futures and stock the spot market takes ECM- GARCH-BEKK model for empirical study. Overall, the stock index futures market＇ has a more persistent effect on volatility and has a more spillovers effect, obvious volatility, which is the most impact on the market. However, only the spot market has a leverage ef- fect. Markets perform differently in different stages of net capital inflows： When net capital inflows, the risk of capital market volatility spillover effect begin to intensively increasing and the risk of linkage between the two markets is also strengthening. The spot market has a larger impact on markets. When net capital inflows decreases, the persistence of stock spot and futures markets begin to enhance with decreased volatility. The market will be inde- pendence to a certain extent. When capital flight, the stock spot volatility spillover has the highest effect with yields amplitude increasing and the market is in the process of self- healing, but the futures market volatility will have a greater impact on markets. The empiri- cal show that the stock index futures market has a price guide and hedging effect, but the capital flows will play a different impact on capital markets.