“好”的与“坏”的跳跃溢出:基于相互激励跳跃视角

Good and bad jump spillovers: A perspective of mutually excitingjumps

本文以我国沪深300股指期现货市场为例,从相互激励跳跃这一新的视角研究了金融市场之间“好”的(正向)与“坏”的(负向)跳跃溢出的结构与动态特征.首先,跳跃溢出具有非对称性,“坏”的跳跃溢出相比“好”的跳跃溢出更加突出.其次,跳跃溢出在牛熊市下存在一定的差异,牛市下“好”的跳跃溢出较为显著,而熊市下“坏”的跳跃溢出更加明显,但在一些牛熊市区间此结论并不成立.再次,跳跃溢出存在日内余震效应,“坏”的跳跃溢出尤其明显.总之,实证研究表明,两个市场间存在双向跳跃溢出并且跳跃溢出具有时变性.比如,在实施股指期货交易限制时期期货到现货的跳跃溢出有所减弱,而现货到期货的跳跃溢出有所增强.

Using the CSI 300 index futures and spot markets as an example,this paper investigates the structure and dynamics of good(positive)and bad(negative)jump spillovers between financial markets from the perspective of mutually exciting jumps.First,we find that jump spillovers are asymmetric,and bad jump spillovers,on average,are stronger than good jump spillovers.Second,jump spillovers differ in bear and bull markets,bad jump spillovers are more evident than good jump spillovers in bear markets while good jump spillovers are more evident than bad jump spillovers in bull markets,however,these conclusions do not survive in some bull and bear markets.Third,we also document intraday aftershock effects of jump spillovers,especially for bad jump spillovers.Overall,we document bidirectional jump spillovers between the two markets and jump spillovers vary over time.For example,during the period of tightened trading rules on CSI 300 index futures,jump spillovers from the futures market to the spot market weakened,while the jump spillovers from the spot market to the futures market strengthened.