發(fā)布時(shí)間：2019-03-30 09:47

【摘要】：本文采用偏t分布的GARCH-時(shí)變Copula-CoVaR模型測度了內(nèi)地和香港兩地股票現(xiàn)貨和期貨四個(gè)市場兩兩間的風(fēng)險(xiǎn)溢出大小,以此來分析兩地股指期貨和現(xiàn)貨市場在極端風(fēng)險(xiǎn)情況下的聯(lián)動關(guān)系。結(jié)果表明,所考察的市場中任意兩個(gè)市場間均存在雙向的風(fēng)險(xiǎn)溢出效應(yīng),且滬深300股指期貨和恒指期貨間的風(fēng)險(xiǎn)溢出要明顯強(qiáng)于滬深300指數(shù)和恒生指數(shù)間的溢出。另外,內(nèi)地金融市場(股票現(xiàn)貨和期貨市場)對香港地區(qū)金融市場(股票現(xiàn)貨和期貨市場)的風(fēng)險(xiǎn)溢出要弱于反方向的溢出。值得注意的是,在所考察的市場中,恒指期貨對滬深300指數(shù)的風(fēng)險(xiǎn)溢出程度最高,也就是說,滬深300指數(shù)受恒指期貨的風(fēng)險(xiǎn)沖擊最大,一旦恒指期貨發(fā)生風(fēng)險(xiǎn)事件,滬深300指數(shù)發(fā)生風(fēng)險(xiǎn)的概率會大幅上升。長期來看,滬深300股指期貨對滬深300指數(shù)的溢出明顯強(qiáng)于反方向的溢出,但在2015年9月實(shí)施對期指的最嚴(yán)限令后,情況發(fā)生了反轉(zhuǎn)。本文的研究結(jié)論對監(jiān)管機(jī)構(gòu)、交易所和投資者防范市場風(fēng)險(xiǎn)有重要的現(xiàn)實(shí)意義。
[Abstract]:In this paper, we use the GARCH- time-varying Copula-CoVaR model with partial t distribution to measure the risk spillover between the stock spot and futures markets in the mainland and Hong Kong. This paper analyzes the linkage between stock index futures and spot market in extreme risk situation. The results show that there is a two-way risk spillover effect between any two markets, and the risk spillover between Shanghai-Shenzhen 300 stock index futures and HSI futures is stronger than that between Shanghai-Shenzhen 300 index and Hang Seng index. In addition, the risk spillovers of mainland financial markets (spot and futures markets) to Hong Kong's financial markets (spot and futures markets) are weaker than those in the opposite direction. It is worth noting that in the market examined, the HSI futures have the highest degree of risk spillover to the Shanghai-Shenzhen 300 index, that is, the Shanghai-Shenzhen 300 index is most affected by the risk impact of the HSI futures, and once the HSI futures have a risk event, Shanghai and Shenzhen 300 index risk probability will rise sharply. In the long run, the spillover of Shanghai-Shenzhen 300 stock index futures to the Shanghai-Shenzhen 300 index was significantly stronger than that of the opposite direction, but the situation reversed after the implementation of the most stringent order on the futures index in September 2015. The conclusions of this paper have important practical significance for regulators, exchanges and investors to guard against market risks.
【作者單位】： 南開大學(xué)金融學(xué)院;南開大學(xué)中國特色社會主義經(jīng)濟(jì)建設(shè)協(xié)同創(chuàng)新中心;
【分類號】：F832.51;F724.5
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本文編號：2450015