我国指数期货与现货之间的价格发现和波动性外溢被引量：27

Price Discovery and Volatility Spillovers in the Index Futures and Spot Markets in China

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摘要本文是在我国没有指数期货实践但不久将推出的情况下进行的超前研究。旨在检定指数期货交易对现货市场的影响,检测指数期货市场的价格发现功能以及指数期货交易是否会增加现货市场的波动性。首次运用VEC-DCC-(BV)GARCH模型并基于沪深300指数期货仿真交易数据,得出以下主要结论:(1)沪深300指数期货与标的现货价格间存在长期均衡关系,沪深300指数价格领先沪深300指数期货;(2)两个市场间存在双向的波动性外溢效果,沪深300指数期货交易加大了沪深300指数的条件波动。研究结果为将来上市指数期货交易提供了经验支持,并为指数期货推出后的风险控制奠定了基础。 This paper is an advanced study under the situation of index futures not in practice but to be launched. The purpose is to test the effectiveness of the stock index futures trading on the spot market, and to detect the price discovery function of index futures and whether the index futures will increase the spot market volatility. The first application of VEC-DCC-（BV）GARCH model based on the simulation transactions data of China 300 index futures, comes to the following conclusions：（1） the two markets have a cointegration relationship and long run equilibrium; however, the spot market plays a more important and leading role;（2） there exists a two-way volatility spillover effects between the two markets; in addition, China 300 index futures will intensify the conditional fluctuations of China 300 index. The results provide empirical supports for listing the index futures in the future and lay a foundation for the risk control after listing the index futures.

作者郭彦峰黄登仕魏宇

机构地区西南交通大学经济管理学院

出处《管理评论》 CSSCI 北大核心 2009年第8期13-22,共10页 Management Review

基金国家自然科学基金项目资助(70501025 70771097)

关键词指数期货价格发现波动性外溢动态条件相关二元GARCH index futures, price discovery, volatility spillovers, DCC-（BV）GARCH model

分类号 F224 [经济管理—国民经济] F724.5 [经济管理—产业经济]

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参考文献17

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