中国股指期货与股票现货市场的风险溢出和联动效应:资本流动三阶段背景的研究

发布时间：2018-05-04 04:17

本文选题：股指期货市场 + 股指现货市场　；参考：《南开经济研究》2012年02期

【摘要】：本文对资本净流入不同阶段下的中国股指期货与股票现货市场的风险溢出和联动效应采用ECM-GARCH-BEKK模型进行了实证研究。总体而言,股指期货市场的波动具有更强的持续性,市场波动溢出效应最高,波动程度也最为明显,对市场的冲击最大,但是只有股票现货市场具有杠杆效应。在资本净流入不同阶段中,市场表现差异:资本净流入递增时资本市场风险波动溢出效应开始加剧,两市之间的风险联动也在加强,股票现货市场对两市的冲击最大。当资本净流入递减时,股市现货和期货市场的持续性增强,但是波动程度有所降低,市场表现出一定独立性。当资本外逃时,股票现货波动溢出效应最高,收益率振幅有所上升,市场处于自我修复过程中,但期货市场的波动对两市冲击最大。通过实证发现,股指期货市场具有价格引导和套期保值功能,只是资本流动的变化会对资本市场起到一定差异影响。
[Abstract]:This paper makes an empirical study on the risk spillover and linkage effect of China stock index futures and stock spot market in different stages of net capital inflow using ECM-GARCH-BEKK model. In general, the volatility of stock index futures market is more persistent, the volatility spillover effect is the highest, the volatility degree is the most obvious, the impact on the market is the biggest, but only the stock spot market has leverage effect. In the different stages of net capital inflow, the market performance is different: when the net capital inflow increases, the risk volatility spillover effect of the capital market begins to intensify, the risk linkage between the two markets is also strengthened, and the stock spot market has the biggest impact on the two markets. When the net capital inflow decreases, the stock market becomes more persistent in spot and futures markets, but the volatility is reduced, and the market shows some independence. When the capital escapes, the stock spot volatility spillover effect is the highest, the yield amplitude is rising, and the market is in the process of self-repair, but the volatility of the futures market has the biggest impact on the two markets. It is found that the stock index futures market has the function of price guidance and hedging, but the change of capital flow will have a certain difference on the capital market.
【作者单位】：复旦大学经济学院;中国人民银行上海总部;
【分类号】：F224;F832.51

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