宏观信息冲击下股指期货与现货的共跳特征与金融稳定

Co-jumps between Stock Index Futures and Spot Markets and Financial Stability under the Impact of Macroeconomic News

宏观经济信息的冲击不仅会直接影响金融市场的联合波动,而且会通过隔夜信息影响市场的跳跃。基于高频数据下的非参数跳跃检验方法,考察沪深300指数和股指期货价格的共同跳跃和隔夜特征,研究发现:两个市场间存在显著的共同跳跃,不同方向的共同跳跃对波动的预测表现出显著的非对称性;跳跃的隔夜特征较为明显,且隔夜共跳能够显著增强次日波动。股指期货与现货市场的共跳通常由影响整个市场的宏观信息冲击所致,且大多数共跳与隔夜信息的发布和积累相关。为避免市场过度震荡,实现金融稳定,政府机构和企业应控制在非交易时段公布宏观政策举措或经济信息的频率,并降低政策导向的不确定性。

The macroeconomic news announcements, especially overnight information, not only affect the joint volatility but also the jumps of financial markets. Based on the high frequency data of the CSI 300 index and the stock index futures monthly contracts, the co- jumps between the two markets as well as their overnight feature have been detected through the method of nonparametric jump test. The empirical results show that co- jumps with asymmetry in volatility forecast occur significantly between two markets, whose overnight occurrence can obviously increase the volatility of the next day. The co- jumps between stock index futures and spot markets are usually closely associated with the macroeconomic news announcements that could affect the whole market, most of which are related to accumulation of overnight information. In order to avoid excessive market volatility and achieve financial stability, government agencies and enterprises should control the frequency of macroeconomic news announcements during non- trading hours and reduce uncertainty in policy direction.