摘要
采用协整检验、误差修正模型和脉冲响应的方法研究了新华富时A 50指数期货与沪深300指数、上证综指的长期价格发现与短期价格发现功能,结果表明,新华富时A 50指数期货具有一定的价格发现功能。在此基础上,运用G ranger因果检验与BEKK模型研究了新华富时A 50指数期货对沪深300指数、上证综指的波动溢出效应,结果表明,新华富时A 50指数期货不是我国股票市场不稳定的因素。
This paper studies the long-term and short-term price discovery function of FTSE/Xin- hua China A50 Index Futures and CSI 300 index, the Index of Shanghai Stock Exchange through cointegration test, error correction model and the impulse response function. Empirical results show that FTSE/Xinhua China A50 Index Futures is price discovery vehicle for A-share market to some extent. Furthermore, this paper uses Granger test and BEKK model to explore the volatility spillovers effects of FTSE/Xinhua A50 Index Futures. Empirical results show that the FTSE Xinhua China A50 Index Futures is not a source of instability in A-share market.
出处
《管理学报》
CSSCI
2009年第11期1507-1512,1535,共7页
Chinese Journal of Management
基金
国家自然科学基金资助项目(70971096)
教育部新世纪优秀人才支持计划资助项目(NCET-07-0605)
天津市社会科学基金资助项目(TJ05-TJ003)
关键词
指数期货
价格发现
波动溢出
异地上市
overseas listing
index futures
price discovery
volatility spillovers
