基于多元随机波动模型方法的股指期货与现货关系研究——以亚洲五地金融市场为例

发布时间：2018-11-21 07:44

【摘要】：本文以多元随机波动模型检视亚洲五个主要金融市场股指期货与现货的报酬关系与波动溢出效应。实证发现,五地金融市场股指期货与现货之间皆存在双向的波动溢出效应。股指现货动态相关系数和波动持续系数均高,显示现货市场具有聚类的现象。此外,本研究进一步探讨股指期货与现货的联动和共同波动因子的关系,实证发现,股指期货与现货的波动关系是同时受到共同信息发布的影响。
[Abstract]:This paper examines the relationship between stock index futures and spot returns and volatility spillover effects in five major Asian financial markets by using a multivariate stochastic volatility model. Empirical results show that there are two-way volatility spillover effects between stock index futures and spot in the five financial markets. Both the dynamic correlation coefficient and volatility persistence coefficient of spot stock index are high, indicating that the spot market has clustering phenomenon. In addition, this study further discusses the relationship between stock index futures and spot and common fluctuation factors. It is found that the relationship between stock index futures and spot volatility is affected by the release of common information at the same time.
【作者单位】：复旦大学管理学院;台湾第一银行;
【分类号】：F832.51

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