摘要
本文旨在分析中国国债期货和其现货之间的动态信息传导关系和不对称波动溢出效应,实证结果发现5年期和10年期国债期货已具有明显的信息优势,且交易更活跃的国债期货品种对现货市场具有更强的价格引导能力,但在市场快速下跌时,市场恐慌情绪驱动期货价格的非理性下跌,削弱期货市场的价格发现和信息传导效率.此外,国债期货与现货市场之间存在着非对称波动性联动关系,国债现货相比国债期货具有更强的波动率溢出效应.期货基差的扩大将加剧国债期货市场的波动性.
This study investigates the price discovery performance and volatility transmission between China’s T-bond futures markets and underlying spot markets reprehensively by a recursive information leadership share model and an asymmetric VECMBEKK-GARCH model.The 5-year and 10-year T-Bond futures markets have been found to play a dominant role in the price discovery process at most of the period.However,when the market falls rapidly,futures market is more likely to overreact to market crush due to the higher leverage and liquidity.Futures prices tend to fall sharply and the futures bases expand simultaneously,which will weaken the efficiency of price discovery and information transmission of the futures market.Moreover,based on the asymmetric ECM-GARCH model,the results show a strong bidirectional interdependence of conditional volatility between both markets and a significant positive impact of the expansion of futures basis to the futures market volatility.
作者
周颖刚
贝泽赟
ZHOU Yinggang;BEI Zeyun(Center for Macroeconomic Research,Xiamen University,Xiamen 361005,China;Department of Finance at School of Economics,Xiamen University,Xiamen 361005,China;Wang Yanan Institute for Studies in Economics,Xiamen University,Xiamen 361005,China;Department of Economics and Finance,City University of Hong Kong,Hong Kong 999077,China)
出处
《计量经济学报》
2021年第4期814-837,共24页
China Journal of Econometrics
基金
国家自然科学基金(71988101,71871195)
国家社会科学基金重大项目(19ZDA060)
教育部人文社会科学基金(18YJA790121)
闽都中小银行教育基金经费资助
