摘要
本文选取2010年5月—2019年6月的五分钟高频收盘数据,分阶段地考察了沪深300股指期货市场和现货市场的波动溢出效应和非对称效应。实证结果表明,沪深300股指期货和股票现货在深度贴水前和深度贴水后均存在显著的双向波动溢出效应;在深度贴水期,市场间的波动溢出效应最小,且期货市场的历史波动对现货市场的溢出效应不显著。在不同阶段内,股票现货总是主导着市场间的波动溢出效应和非对称溢出效应。同时,由于市场对负面信息敏感度的提升,负面信息的非对称溢出效应逐渐增强。
By using the five-minute closing data from May 2010 to June 2019,this paper examines the volatility spillover effect and asymmetric effect between the CSI 300 index futures market and the spot market in different stages.The results show that,there are significant two-way volatility spillovers between the CSI 300 index futures market and the spot market both before and after the period of futures deeply discounting to stock;but the volatility spillovers are minimal and historical volatility from the futures market has no significant spillover effect on the spot market during the period of futures deeply discounting to stock.Although at different stages,stock market always dominates the volatility spillovers and asymmetric spillovers.Meanwhile,because of the increasing sensitivity to negative information,the asymmetric volatility spillover caused by negative information increases gradually.
作者
张筱峰
郭沥阳
ZHANG Xiao-feng;GUO Li-yang(School of Economics and Management,Changsha University of Science and Technology,Changsha 410114,China)
出处
《现代财经（天津财经大学学报）》
CSSCI
北大核心
2020年第3期53-66,共14页
Modern Finance and Economics：Journal of Tianjin University of Finance and Economics
基金
湖南省金融工程和金融管理研究中心课题(18FEFMY5).
