我国股指期货和现货市场的信息溢出效应研究——基于转融券实施的1分钟高频数据

Information Spillover Effect between Stock Index Future Market and Spot Market in China: On the Basis of One Minute High Frequency Data of Refinancing Securities

转融券是我国证券市场金融制度的重大创新。本文选取了转融券实施前后的2013年2月19日～2013年3月15日区间的沪深300股指期货和沪深300现货指数1分钟的交易数据,通过建立基于t分布的VECM-MVGARCH-BEKK模型,对股指期货和现货市场的信息溢出效应进行了实证研究。结果表明:转融券前,股指期货市场和现货市场之间存在双向均值溢出效应,并且只存在现货市场对股指期货市场的单向短期波动溢出效应;转融券后,只存在股指期货市场对现货市场的单向均值溢出效应,而且只存在股指期货市场对现货市场的单向短期波动溢出效应;转融券实施前后股指期货和现货市场之间均不存在长期波动溢出效应。

Refinancing securities is a significant financial system innovation in China＇s securities market. Using the one minute high frequency data of HS300 index futures and HS300 index from 19 Feb to 15 Mar in 2013, we examine the information spillover effects between stock index futures market and spot market by constructing model on the basis of the student-t distribution. The results show that： First, there are two-way mean spillover effects between the two markets before the launching of refinancing securities, and there only exists one-way and short-term volatility spillover effect from spot market to stock index futures market. Second, there merely exists one-way mean spillover effect from stock index futures market to spot market after the launching of refinancing securities, and there only exists one-way and short-terra volatility spillover effect from stock index futures market to spot market. Third, there exists long-term volatility spillover effect between the two markets neither before nor after the launching of refinancing securities