股指期货与现货市场的风险溢出研究
发布时间：2019-03-30 09:47
【摘要】：本文采用偏t分布的GARCH-时变Copula-CoVaR模型测度了内地和香港两地股票现货和期货四个市场两两间的风险溢出大小,以此来分析两地股指期货和现货市场在极端风险情况下的联动关系。结果表明,所考察的市场中任意两个市场间均存在双向的风险溢出效应,且沪深300股指期货和恒指期货间的风险溢出要明显强于沪深300指数和恒生指数间的溢出。另外,内地金融市场(股票现货和期货市场)对香港地区金融市场(股票现货和期货市场)的风险溢出要弱于反方向的溢出。值得注意的是,在所考察的市场中,恒指期货对沪深300指数的风险溢出程度最高,也就是说,沪深300指数受恒指期货的风险冲击最大,一旦恒指期货发生风险事件,沪深300指数发生风险的概率会大幅上升。长期来看,沪深300股指期货对沪深300指数的溢出明显强于反方向的溢出,但在2015年9月实施对期指的最严限令后,情况发生了反转。本文的研究结论对监管机构、交易所和投资者防范市场风险有重要的现实意义。
[Abstract]:In this paper, we use the GARCH- time-varying Copula-CoVaR model with partial t distribution to measure the risk spillover between the stock spot and futures markets in the mainland and Hong Kong. This paper analyzes the linkage between stock index futures and spot market in extreme risk situation. The results show that there is a two-way risk spillover effect between any two markets, and the risk spillover between Shanghai-Shenzhen 300 stock index futures and HSI futures is stronger than that between Shanghai-Shenzhen 300 index and Hang Seng index. In addition, the risk spillovers of mainland financial markets (spot and futures markets) to Hong Kong's financial markets (spot and futures markets) are weaker than those in the opposite direction. It is worth noting that in the market examined, the HSI futures have the highest degree of risk spillover to the Shanghai-Shenzhen 300 index, that is, the Shanghai-Shenzhen 300 index is most affected by the risk impact of the HSI futures, and once the HSI futures have a risk event, Shanghai and Shenzhen 300 index risk probability will rise sharply. In the long run, the spillover of Shanghai-Shenzhen 300 stock index futures to the Shanghai-Shenzhen 300 index was significantly stronger than that of the opposite direction, but the situation reversed after the implementation of the most stringent order on the futures index in September 2015. The conclusions of this paper have important practical significance for regulators, exchanges and investors to guard against market risks.
【作者单位】： 南开大学金融学院;南开大学中国特色社会主义经济建设协同创新中心;
【分类号】：F832.51;F724.5
，
本文编号：2450015
[Abstract]:In this paper, we use the GARCH- time-varying Copula-CoVaR model with partial t distribution to measure the risk spillover between the stock spot and futures markets in the mainland and Hong Kong. This paper analyzes the linkage between stock index futures and spot market in extreme risk situation. The results show that there is a two-way risk spillover effect between any two markets, and the risk spillover between Shanghai-Shenzhen 300 stock index futures and HSI futures is stronger than that between Shanghai-Shenzhen 300 index and Hang Seng index. In addition, the risk spillovers of mainland financial markets (spot and futures markets) to Hong Kong's financial markets (spot and futures markets) are weaker than those in the opposite direction. It is worth noting that in the market examined, the HSI futures have the highest degree of risk spillover to the Shanghai-Shenzhen 300 index, that is, the Shanghai-Shenzhen 300 index is most affected by the risk impact of the HSI futures, and once the HSI futures have a risk event, Shanghai and Shenzhen 300 index risk probability will rise sharply. In the long run, the spillover of Shanghai-Shenzhen 300 stock index futures to the Shanghai-Shenzhen 300 index was significantly stronger than that of the opposite direction, but the situation reversed after the implementation of the most stringent order on the futures index in September 2015. The conclusions of this paper have important practical significance for regulators, exchanges and investors to guard against market risks.
【作者单位】： 南开大学金融学院;南开大学中国特色社会主义经济建设协同创新中心;
【分类号】：F832.51;F724.5
，
本文编号：2450015
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