金融危机期间跨市场波动风险预警的遗漏——跨境期现货市场间波动溢出

Omission of Cross-market Volatility Risk Early-warning in Financial Crisis—— Volatility Spillover from Futures Market to Spot Market

将主成分分析(PCA)与独立成分分析(ICA)方法引入跨区域金融衍生品市场与基础市场之间的波动溢出研究,弥补过去用传统向量GARCH模型拟合高维金融时间序列波动存在的不足。主要贡献包括:(1)建立PCA-EGARCH-M与ICA-EGARCH-M模型,研究2008年金融危机蔓延期间国际股指期货市场对我国股市的波动溢出效应,并通过预测评价指标RMSE与Theil不等系数的对比,证实ICA-EGARCH-M模型更精确,实证结论不仅验证不同程度波动溢出效应的存在,而且反映出波动溢出的主要来源。(2)用脉冲响应函数衡量国际股指期货市场的单位冲击给我国股市造成的波动响应时间和响应幅度大小。

Methods of Principal Component Analysis(PCA)and Independent Component Analysis(ICA)are introduced to study volatility spillovers from trans-regional financial derivative markets to basic markets in this paper.It remedies the deficiency of using traditional vector GARCH model to fit high dimensional financial time series volatility problem in the past.The main contributions include:(1)PCA-EGARCH-M and ICA-EGARCH-M model are employed to analyze volatility spillover effects from international stock index futures markets to Chinese stock market during 2008 financial crisis spreading.ICA-EGARCH-M is examined to be more accurate by comparing prediction evaluating indice such as RMSE and Theil inequality coefficient.The empirical results not only confirm that there exists volatility spillover effects,but also reflect the main resource of volatility spillovers.(2)Impulse response functions measure the volatility spillover response time and amplitude size from unit shock of international stock index futures markets to Chinese stock market.