【摘要】：運(yùn)用基于結(jié)構(gòu)向量自回歸模型的溢出指數(shù),檢驗我國滬深300股指期貨與滬深300指數(shù)收益率間靜態(tài)和動態(tài)的波動溢出效應(yīng)和信息溢出效應(yīng)。結(jié)果表明,在股指期貨市場未限制交易前,我國滬深300股指期貨收益率波動對滬深300指數(shù)收益率波動具有顯著正向凈溢出效應(yīng),滬深300股指期貨成交量對滬深300指數(shù)收益率波動也具有顯著正向凈溢出效應(yīng);在股票市場劇烈波動時,波動溢出效應(yīng)和信息溢出效應(yīng)均會增加,滬深300股指期貨成交量的增加會放大股指期貨對現(xiàn)貨的波動溢出效應(yīng)。因此,在我國股票市場持續(xù)不穩(wěn)定波動的背景下,對股指期貨成交量和波動進(jìn)行合理的管制,可降低期貨市場對股票市場的波動溢出效應(yīng),進(jìn)而有效防范資本市場風(fēng)險。
[Abstract]:By using the spillover index based on structural vector autoregressive model, the static and dynamic volatility spillover effect and information spillover effect between CSI 300 stock index futures and CSI 300 index yield are tested. The results show that the volatility of Shanghai and Shenzhen 300 stock index returns has a significant positive net spillover effect on the volatility of Shanghai and Shenzhen 300 index returns before the stock index futures market is not restricted. The trading volume of Shanghai and Shenzhen 300 stock index futures also has a significant positive net spillover effect on the volatility of Shanghai and Shenzhen 300 index returns, and the volatility spillover effect and information spillover effect will increase when the stock market fluctuates violently. The increase of trading volume of Shanghai and Shenzhen 300 stock index futures will amplify the volatility spillover effect of stock index futures on spot. Therefore, under the background of persistent unstable fluctuation of stock market in our country, reasonable regulation on the trading volume and fluctuation of stock index futures can reduce the volatility spillover effect of futures market on stock market, and then effectively guard against the risk of capital market.
【作者單位】： 吉林大學(xué)經(jīng)濟(jì)學(xué)院;吉林大學(xué)國有經(jīng)濟(jì)研究中心;
【基金】：國家建設(shè)高水平大學(xué)公派研究生項目(編號:201606170156) 吉林大學(xué)研究生創(chuàng)新基金資助項目(編號:2016007)的成果
【分類號】：F724.5

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