中国股指期货市场连续性及跳跃性波动行为研究

发布时间：2018-03-17 21:43

本文选题：沪深指数期货　切入点：连续波动　出处：《上海金融》2017年04期 　论文类型：期刊论文

【摘要】：本文以非参数化方法为理论基础,利用沪深300指数期货2010年到2015年的5分钟高频数据,分离出已实现波动率中的连续波动和跳跃幅度及跳跃次数时间序列,分别检验两种波动成分的统计性质、相互影响以及收益率对各种波动成分的影响效应。研究发现:我国股指期货市场连续性波动存在显著的日、周、月效应;跳跃次数具有显著的日效应,滞后3阶的跳跃幅度对其有显著正向影响。当日和上一日跳跃幅度与次数分别显著增加和降低连续性波动,但其在牛熊市表现不同;跳跃次数对连续波动的解释能力大于跳跃幅度。当日和上一日连续波动分别显著增加和降低当日跳跃次数,在牛熊市中,当日连续波动对跳跃次数和幅度都有很强的解释能力。收益率对连续性波动的影响存在规模效应,对跳跃幅度的影响在牛市中存在杠杆效应和综合效应,在熊市中,存在规模效应和综合效应。
[Abstract]:Based on the nonparametric method, using the 5-minute high frequency data of Shanghai and Shenzhen 300 index futures from 2010 to 2015, the continuous fluctuation, jump amplitude and jump time series in realized volatility are separated. The statistical properties of the two volatility components, the mutual influence and the effect of the return on the volatility components are tested respectively. It is found that there are significant daily, weekly and monthly effects on the continuous volatility of the stock index futures market in China; The jump times have a significant diurnal effect, and the jump amplitude of 3 order lag has a significant positive effect on it. On the same day and on 1st, the jump amplitude and the number of jumps increase and decrease the continuous fluctuation respectively, but their performance is different in the bull bear market. The ability of jumping times to explain continuous volatility is greater than that of jump amplitude. Continuous fluctuations on the same day and 1st of last year significantly increased and decreased the number of jumps of the day, respectively, in bull bear market, The effect of yield on continuous fluctuation has scale effect, and the influence on jump amplitude has leverage effect and comprehensive effect in bull market, and in bear market. There are scale effect and comprehensive effect.
【作者单位】：上海财经大学金融学院;上海市金融信息技术研究重点实验室;
【基金】：国家自然科学基金委重大研究计划重点项目(91546202) 上海市科委“科技创新行动计划”项目(14511107202,15511107302)
【分类号】：F724.5

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