国际间国家和地区股指期货市场收益率与波动率关系的研究

发布时间：2018-06-10 02:13

本文选题：股指期货 + 收益率溢出效应　；参考：《西南交通大学》2013年硕士论文

【摘要】：股指期货于2010年4月16日正式登陆我国A股市场,本文研究的目的在于通过对我国和国际股指期货市场之间动态关系的研究,揭示国内股指期货市场与其他国家或地区股指期货市场之间的联动关系。而研究中国、美国、日本和中国香港四个股指期货市场之间的波动和联动关系,具有重要的理论意义和现实意义。本文是借助VAR-Asymmetric (BV) GARCH模型对国内、其他国家和地区股指期货市场之间的动态关系进行实证研究。其股指期货市场分别是：沪深300股指期货市场,标普500股指期货市场,日经225股指期货市场和香港恒生股指期货市场。主要内容是通过VAR-Asymmetric (BV) GARCH模型研究其两两市场间的收益率和波动率变化的关系。主要研究结果表明：首先,就各个股指期货市场的收益率溢出效应而言,美国市场对恒生、日本和中国大陆市场有单向的溢出效应,日本、恒生市场与中国大陆市场之间均存在双向的溢出效应,恒生市场和日本市场不存在溢出效应；其次,就各股指期货市场间的波动率溢出效应而言,美国、日本对中国大陆有单向的溢出效应,中国大陆与香港地区,香港地区与日本之间有双向的溢出效应,美国和日本市场不存在波动率的溢出效应；最后,就各个股指期货市场波动非对称效应检验结果来看,四个市场均存在自身波动的非对称效应,且美国、日本和香港地区对中国大陆存在单向的波动非对称效应,美国、日本对香港地区也存在单向的波动非对称效应,美国市场和日本市场之间存在双向的波动非对称效应等。由实证结果可以看出,中国大陆市场与亚洲市场联系较紧密,股市波动风险影响是相互的,中国大陆股市波动不对美国市场造成的影响。
[Abstract]:Stock index futures officially landed in China's A-share market on April 16, 2010. The purpose of this paper is to study the dynamic relationship between China and international stock index futures markets. It reveals the linkage relationship between the domestic stock index futures market and other countries or regions stock index futures markets. It is of great theoretical and practical significance to study the relationship between volatility and linkage among the four stock index futures markets in China, the United States, Japan and Hong Kong. The dynamic relationship between stock index futures markets in other countries and regions is studied empirically. Its stock index futures markets are: Shanghai and Shenzhen 300 stock index futures market, S & P 500 stock index futures market, Nikkei 225 stock index futures market and Hong Kong Hang Seng stock index futures market. The main content of this paper is to study the relationship between the return rate and volatility change between the two markets through VAR-Asymmetric BVARCH model. The main results show that: first of all, as far as the yield spillover effect of each stock index futures market is concerned, the United States market has a relationship with Hang Seng. There is a one-way spillover effect between Japan and China mainland market. There is a two-way spillover effect between Japan, Hang Seng market and Chinese mainland market, while there is no spillover effect in Hang Seng market and Japanese market. As far as the volatility spillover effects among the stock index futures markets are concerned, the United States and Japan have one-way spillover effects on mainland China, and there are two-way spillover effects between China and Hong Kong, Hong Kong and Japan. There is no volatility spillover effect in the American and Japanese markets. Finally, according to the test results of the asymmetric volatility effect in each stock index futures market, the four markets have their own asymmetric volatility effects, and the United States, Japan and Hong Kong have one-way volatility asymmetry effect on Chinese mainland, the United States and Japan also have one-way volatility asymmetry effect on Hong Kong, and there is two-way volatility asymmetry effect between American market and Japanese market. It can be seen from the empirical results that the Chinese mainland market is closely related to the Asian market, the risk of stock market volatility is mutual, and the Chinese mainland stock market volatility does not affect the U.S. market.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.51;F224

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