| 沪深300股指期货波动溢出效应研究 |
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| 引用本文： | 徐翔.沪深300股指期货波动溢出效应研究[J].科技广场,2012(2):163-166. |
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| 作者姓名： | 徐翔 |
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| 作者单位： | 江西财经大学金融学院,江西南昌,330013 |
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| 摘 要： | 本文研究表明沪深300股指期货与现货市场间存在不对称的波动溢出效应,股指期货交易产生的波动会引导现货市场波动,并且影响程度高达52%,而现货市场交易产生的波动并不能对股指期货市场产生显著的影响。另外,本文通过脉冲响应函数进行分析,发现沪深300股指期货价格变动较现货价格变动超前15分钟。
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| 关 键 词： | 股指期货 波动溢出效应 双变量VEC模型 |
The Research on the Fluctuation Spillover Effect of HS300 Stock Index Futures |
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| Xu Xiang.The Research on the Fluctuation Spillover Effect of HS300 Stock Index Futures[J].Science Mosaic,2012(2):163-166. |
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| Authors: | Xu Xiang |
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| Institution: | Xu Xiang (School of Finance, Jiangxi University of Finance and Economics, Jiangxi Nanchang 330013) |
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| Abstract: | The empirical results show that asymmetric fluctuation spillover effect between HS300 stock index futures and spot market, the volatility of stock index futures will guide the fluctuations in the spot market, and its impact up to 52%, but the volatility of spot market have no effect on stock index futures. Then, in this paper, the impulse response function analysis show that, compared to spot market price, the stock index futures price changes ahead for at least 15 minutes. |
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| Keywords: | Stock Index Futures Fluctuation Spillover Effect VEC Model |
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