股指期货与股指期权市场之间的风险传递效应研究——来自香港恒生指数衍生品市场的证据

发布时间：2018-01-11 14:13

本文关键词：股指期货与股指期权市场之间的风险传递效应研究——来自香港恒生指数衍生品市场的证据　出处：《数理统计与管理》2014年06期 　论文类型：期刊论文

【摘要】：为探索股指期货市场与股指期权市场之间的风险传递效应,本文以香港恒指期货市场和恒指期权市场为例,对股指期货和股指期权市场之间的内在波动性动态关系进行了深入细致的实证研究。主要结论为:(1)恒指期货市场和恒指期权市场价格之间具有长期均衡关系;(2)协整残差项对恒指期货市场和恒指期权市场的条件均值和条件方差具有很好地解释力量,并能够更加准确地刻画恒指期货市场和恒指期权市场之间的波动性;(3)香港恒指期货市场和恒指期权市场的溢出效应是彼此不同的,期权市场对期货市场能够起到价格发现的功能。本文的结论为中国适时推出股指期权产品,进而完善我国风险管理体系提供了坚实的证据。
[Abstract]:In order to explore the risk between the stock index futures market and stock index options market transfer effect, this paper takes the Hongkong Hang Seng index futures market and the options market, for example, the volatility inherent in the dynamic relationship between stock index futures and stock index options market for empirical research deeply. The main conclusions are as follows: (1) there is a long-term equilibrium relationship between HSI the futures market and the market price of the option; (2) cointegration residuals of HSI Futures Market and the options market conditional mean and variance has good explanatory power, and can more accurately describe the volatility between the futures market and the options market; (3) the spillover effect of the futures market and Hongkong the Hang Seng Index options market is different from each other, the options market of the futures market can play the function of price discovery. The conclusion of this paper is Chinese timely introduction of stock index options, into the It provides solid evidence to improve the risk management system in China.

【作者单位】：山东师范大学经济学院;北京航空航天大学经济管理学院;
【基金】：山东省社科规划研究青年项目(13DJJJ19) 山东省高校人文社科研究项目(J13WF02) 国家自然科学基金重点项目(70831001);面上项目(70671005)
【分类号】：F224;F724.5
【正文快照】： 0引言中国金融市场在迎接了管理价格风险的对冲工具一股指期货之后,或许将迎来管理波动率的工具一股指期权。目前沪深300股指期权已经进入仿真运行阶段,股指期权的推出及运行会对沪深300股指期货及其它市场产生何种影响巳经成为监管者、学术界和实务界共同关注的重要问题之一,

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