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为了防范股票市场与股指期货市场间的风险联动,两市场间波动溢出效应的研究受到了广泛关注。文章以沪深300股指期现货市场2014年10月17日—2015年1月9日内的1分钟高频数据为研究样本,选用EEMD对数据进行分解、重构,并结合CCF因果检验从三个不同的频域研究了股指期现货市场波动溢出效应。研究发现,在任何频域下股指期现货市场间的瞬时波动溢出效应显著,不同的频域不同的持续期波动溢出效应有差异,有时有双向溢出,有时只有现货对期指的单向溢出,现货市场领先时的波动率溢出更强烈,因为现货市场价格的变化领先于期货市场,所以现阶段两市场间风险联动的防范应该更多地关注股票现货市场。
In order to prevent the risk linkage between the stock market and the stock index futures market, the research on the volatility spillover effect between the two markets has drawn extensive attention. In this paper, taking the one-minute high-frequency data from October 17, 2014 to January 9, 2015 in the Shanghai and Shenzhen stock index futures market as the research sample, EEMD was used to decompose and reconstruct the data. Combining the CCF causality test, The different frequency domain studies the volatility spillover effect in the spot market. It is found that the instantaneous volatility spillover effect between the spot market and the spot market in any frequency domain is significant. The different spillover effects of different durations in different frequency domains are different, and sometimes there is a two-way spillover. Sometimes only the one- Volatility in the spot market is leading to a stronger spillover because the spot market price is ahead of the futures market. Therefore, the prevention of risk linkage between the two markets should pay more attention to the stock spot market.