股指期货与现货市场溢出效应及动态关系研究——基于中、美、日、香港等市场的实证分析

发布时间：2018-03-25 21:18

本文选题：股指期货　切入点：溢出效应　出处：《宏观经济研究》2014年06期

【摘要】：本文运用BEKK-MGARCH-VAR和DCC-MGARCH模型分别实证分析了中国、美国、日本及香港等地股指期货与现货市场收益率均值和波动的溢出效应以及两市相关系数的动态(时变)特征,研究发现:四个国家(地区)股指期货与现货市场收益率间均存在双向均值溢出效应;四个国家(地区)股指期货与现货市场间均存在双向波动溢出效应;新兴经济体的指数期货与现货市场间的动态相关系数波动较小,而发达国家指数期货与现货市场间的动态相关系数波动较为明显。最后,对当前中国政策当局规范股指期货市场,警惕期现两市之间的波动传导效应,以确保股指期货和现货两市的稳定提出政策建议。
[Abstract]:Using BEKK-MGARCH-VAR and DCC-MGARCH models, this paper empirically analyzes the spillover effects of the average and volatility of the stock index futures and the spot market in China, the United States, Japan and Hong Kong, as well as the dynamic (time-varying) characteristics of the correlation coefficients between the two markets. It is found that there is a two-way mean spillover effect between stock index futures and spot market returns in four countries (regions), a two-way volatility spillover effect between stock index futures and spot markets in four countries (regions), and a two-way volatility spillover effect between stock index futures and spot market yields in four countries (regions). The dynamic correlation coefficient between index futures and spot markets in emerging economies is less volatile, while that between index futures and spot markets in developed countries is more obvious. Finally, Some policy suggestions are put forward to ensure the stability of stock index futures and spot stock index futures in order to regulate the stock index futures market and guard against the fluctuation conduction effect between the two markets.
【作者单位】：华南师范大学经济与管理学院;招商局集团博士后科研工作站;中国社会科学院工业经济研究所;
【基金】：国家自然科学基金青年项目“不同基础条件下资本账户开放的金融风险及管理研究”(批准号:71303081) 中国博士后基金面上项目“资本账户开放的金融风险及管理研究”(批准号:2013M540669) 教育部人文社会科学研究青年基金项目“汇率调整之谜和我国经常账户失衡研究:微观基础与动态效应”(批准号:12YJC790006) 全国统计科研计划项目“非线性动态面板平滑转换回归模型:理论建模与金融应用”(批准号:2013LY084) 国家社科基金“人民币升值、劳工成本上涨对中国外贸竞争力的影响研究”(批准号:12BJL057);国家社科基金青年项目“人民币汇率、资产价格波动与宏观经济稳定研究”(批准号:11CJY098) 广东省哲学社会科学“十二五”规划青年项目“缓冲储备理论和中国居民预防性储蓄消费行为的理论模型与计量研究”(批准号:GD11YYJ01)的资助
【分类号】：F224;F832.51

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