摘要
运用DCC-GARCH-Hong因果检验研究了2010年4月16日-2019年3月11日沪深300股指期现货市场均值和波动率溢出的时变性,采用LRSM断点检验把市场分为不同的阶段,考察了不同阶段信息溢出统计量的特征,研究结果表明:1)从单向溢出强度来看,在均值单向溢出中现货市场占主导地位,在波动率单向溢出中期货市场占主导地位.2)从同期(当期)溢出的角度来看,不管是均值溢出还是波动率溢出,两个市场均具有高效率.3)从时段上的单向溢出效果看,期现货市场对投资者关注力的吸引程度影响着信息溢出的走势:当期货市场受到较大关注的时候,比如期货市场刚推出,以及快牛和股灾时期市场波动性很大的时候,这期间期货市场更容易引起投资者关注,期现货市场的信息溢出程度高;而在现货市场投资机会较好时,比如新股集中发行、转融券制度实施、股指期货管制型政策实施阶段,两个市场的信息溢出效率就大大降低了.
Using DCC-GARCH-Hong causality test to study the time-varying mean and volatility spillovers in the HS300 stock index futures-spot market from April 16,2010 to March 11,2019,dividing the market into different stages by LRSM breakpoint test,investigating the characteristics of information spillover statistics at different stages,the research results show that:1)Judging from the strength of one-way spillover,spot market plays a dominant role in one-way mean spillover,futures market plays a dominant role in one-way volatility spillover.2)From the perspective of contemporary(current)spillovers,mean spillovers and volatility spillovers are efficient in both markets.3)Seen from the effect of one-way spillover in time period,the attractiveness of futures-spot market to investors’attention influences the trend of information spillover:When the futures market gets more attention,for example,the futures market just launched and quick bull and stock disaster period,the futures market volatility is high,futures markets are more likely to attract investors’attention,high information spillover in futures-spot market;but when investment opportunities are better in the spot market,for example,centralized issuance of new shares,the implementation of converted securities system,implementing stage of Stock Index Futures regulatory policy,the information spillover efficiency of the two markets is greatly reduced.
作者
朱莉
陈占寿
刘向丽
杨晓光
ZHU Li;CHEN Zhanshou;LIU Xiangli;YANG Xiaoguang(College of Finance,Xinjiang University Of Finance and Economics,Urumqi 830012;Key Laboratory of Management Decision and Information System,Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190;School of Mathematics and Statistics,Qinghai Normal University,Xining 810008;College of Finance,Central University of Finance and Economics,Beijing 100081)
出处
《系统科学与数学》
CSCD
北大核心
2020年第11期1901-1917,共17页
Journal of Systems Science and Mathematical Sciences
基金
国家自然科学基金(71661028,11661067,71471182)
中国博士后基金第61批面上项目
新疆维吾尔自治区自然科学基金(2019DO1A25)资助课题。
