中证500、上证50指数与创业板波动溢出效应

The Spillover Effects between IC 500、IH 50 Stock Index and Growth Enterprise Market

选取上证50、中证500股票价格指数期货和创业板指数2015年4月16日至2018年12月26日的每日收盘价数据,采用DCC-MVGARCH-BEKK模型对上证50股票价格指数期货市场与创业板市场、中证500股票价格指数期货市场与创业板市场的关系进行实证分析,得出以下结论:第一,创业板市场、中证500股票价格指数期货市场、上证50股票价格指数期货市场自身都存在波动集聚现象。第二,创业板市场和中证500股票价格指数期货市场之间具有非常强的动态相关关系,且相关系数并不是常数。第三,创业板市场、中证500股票价格指数期货市场和上证50股票价格指数期货市场两两之间存在波动联动性,即每个市场之间不可能独立存在。

With the daily closing price data of IH 50,IC 500 stock index futures and growth enterprise market index from April 16,2015 to December 26,2018,DCC-MVGARCH-BEKK model was used to carry out an empirical study on the correlation between IH 50 stock index futures market and growth enterprise market or the correlation between IC 500 stock index futures market and growth enterprise market.The conclusions are drawn as follows:Firstly,IH 50 stock index futures market,IC 500 stock index futures market and growth enterprise market all have fluctuations and agglomeration.Secondly,there is a very strong dynamic correlation between the growth enterprise market and IC 500 stock index futures market,and the correlation coefficient is not constant.Thirdly,there is volatility spillover effect between IH50,IC 500 stock index futures market and growth enterprise market,that is,the information between the two markets is two-way transmission,indicating that in today’s globalized society,each market cannot exist independently.