恒生指数期货与现货市场之间的跳跃溢出行为研究

发布时间：2018-03-07 20:51

本文选题：恒生指数　切入点：SVCJ　出处：《管理工程学报》2011年01期 　论文类型：期刊论文

【摘要】：为探索恒生指数期货与现货市场之间的跳跃溢出行为,本文利用贝叶斯MCMC推断的SVCJ模型对恒生指数期货与现货市场的跳跃溢出概率、跳跃强度与跳跃大小进行了实证分析。研究结果表明:恒生指数期货与现货市场均存在明显的跳跃特征,并且,两市场之间具有显著的跳跃溢出行为;相对与包含跳跃的波动变化和收益,不包含跳跃的波动和收益模型会过度估计恒生指数期货与现货市场之间的相关性;对同日或次日而言,恒生指数期货市场对现货市场的条件跳跃溢出概率均大于现货市场对期货市场的条件跳跃溢出概率,且跳跃引起负收益的跳跃溢出概率均大于条件跳跃溢出概率;此外,恒生指数期货与现货市场之间的同日跳跃强度与同日跳跃大小均是显著的,相对而言,恒生指数期货的平均跳跃大小要远小于恒生指数的平均跳跃大小,并且,彼此的跳跃溢出均可在同日或次日到达对方。
[Abstract]:In order to explore the jump spillover behavior between Hang Seng Index futures and spot market, this paper uses the SVCJ model inferred by Bayesian MCMC to study the jump spillover probability of Hang Seng index futures and spot market. The results show that both the Hang Seng Index futures and the spot market have obvious jumping characteristics, and there is a significant jump spillover behavior between the two markets. The volatility and return model, which does not include jumps, overestimates the correlation between Hang Seng Index futures and the spot market relative to volatility and returns that include jumps; for the same day or the next day, The conditional jump spillover probability of Hang Seng index futures market to spot market is higher than that of spot market to futures market, and the jump spillover probability of negative return caused by jump is higher than conditional jump spillover probability. The strength and size of the jump on the same day between the Hang Seng Index futures and the spot market are significant. Comparatively speaking, the average jump size of the Hang Seng Index futures is much smaller than the average jump size of the Hang Seng Index, and, Each other's jump spills can reach each other on the same day or the next day.
【作者单位】：复旦大学金融研究院;复旦大学经济学院;复旦大学数学学院;
【基金】：国家自然科学基金项目(71073026,70873055) 教育部人文社会科学规划项目(09YJC790044,08JA790064) 上海哲学社会科学规划项目(2010BJB015)的资助
【分类号】：F224;F832.51

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