跳跃风险的外溢效应与投资价值

The spillovers of jump risk and investment value

为检测美国期货市场跳跃风险对中国期货市场的外溢效应及其投资价值,基于同步交易和异步交易的研究视角,应用跳跃风险溢出指标和风险溢价模型对美中两国的铜和大豆期货市场进行了实证研究.研究结果表明:美国期货市场同步交易和异步交易的跳跃风险对中国期货市场均构成显著影响;同步跳跃风险对中国期货市场的冲击相对更大,并呈现出一定程度的杠杆效应;与加入WTO过渡期间相比,WTO过渡期后美国期货市场跳跃风险对中国期货市场的影响明显加强.从跳跃风险溢出的贡献度看,美国期货市场跳跃风险对中国的风险溢出贡献是非常大的,且美国同步交易比异步交易的跳跃风险贡献大.从投资价值看,来自美国期货市场跳跃风险显著降低了中国期货组合的分散化收益,美国期货市场的跳跃风险对中国期货市场的风险溢价具有显著的负向影响,且明显大于非跳跃风险溢价.此外,期货市场的上跳和下跳风险溢价也具有非对称特性.

To test the spillovers and investment values of jump risks of US futures markets on Chinese futures markets, the paper empirically investigates the copper and soybean futures markets from the aspect of synchronous trading and non-synchronous trading between US and China through the jump risk spillovers indices and the risk premium of jump risk spillover models. The results show that there are significant spillovers of jump risk of US synchronous and non-synchronous futures markets on Chinese futures markets, and the impact of jump risk of synchronous trading market on Chinese futures market, which has a certain leverage effect, is larger than that of on-synchronous trading market. Moreover, the spillovers of jump risk of US futures markets on Chinese futures markets evidently become stronger in the transition-period of WTO entry than after the transition-period of WTO entry. According to the risk performance results of jump risk spillover, the contribution of jump risk spillover of US market to Chinese futures market is very large and the contribution of jump risk spillover in synchronous trading market is more than that in non-synchronous trading market based on the investment portfolio viewpoint. These results show that Chinese futures diversification benefits are significantly reduced in the presence of jump spillovers. The significant negative jump risk premiums, which are stronger than that of no-jump risk premium, are also found in US futures market on Chinese futures market. Moreover,there are asymmetry in both jump ups and jump downs in jump risk premiums.