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本文基于跨市场波动溢出理论,使用自激点过程检验我国股指基差风险积聚事件的交互关系,并分解影响基差风险积聚的一般性事件与自激发事件,进而使用Granger因果检验方法考察基差风险积聚与各关联指数波动特征之间的关系,以此刻画股指期货市场与现货市场之间波动溢出效应的信息传递过程。研究发现:沪深300股指期货基差对股指期货市场上的持仓变化存在单向影响,基差风险积聚事件之间存在明显的自激发效应;基差风险积聚对沪深300指数波动存在显著影响,但对关联指数的影响存在差异,因而不足以对市场整体构成一致性的冲击。
Based on the theory of cross-market volatility and spillover, this paper uses the process of self-excitations to test the interaction of accumulation of risk in China’s stock index and disaggregates the general and self-induced events that affect the accumulation of risk of basement, and then uses the Granger causality test to examine the basis Risk accumulation and the relationship between the volatility of the correlation index in order to characterize the volatility spillover effect between the stock index futures market and the spot market information transfer process. It is found that there is a one-way influence on the change of positions in the stock index futures market between the Shanghai and Shenzhen 300 stock index futures and the obvious self-provoking effect between the basis risk accumulation events. The accumulation of basis risk has a significant impact on the fluctuation of the CSI300 Index , But the impact on the correlation index there are differences, and thus not enough to the market as a whole constitute a consistent impact.