【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(yàn)我國(guó)滬深300股指期貨與滬深300指數(shù)收益率間靜態(tài)和動(dòng)態(tài)的波動(dòng)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(chǎng)未限制交易前,我國(guó)滬深300股指期貨收益率波動(dòng)對(duì)滬深300指數(shù)收益率波動(dòng)具有顯著正向凈溢出效應(yīng),滬深300股指期貨成交量對(duì)滬深300指數(shù)收益率波動(dòng)也具有顯著正向凈溢出效應(yīng);在股票市場(chǎng)劇烈波動(dòng)時(shí),波動(dòng)溢出效應(yīng)和信息溢出效應(yīng)均會(huì)增加,滬深300股指期貨成交量的增加會(huì)放大股指期貨對(duì)現(xiàn)貨的波動(dòng)溢出效應(yīng)。因此,在我國(guó)股票市場(chǎng)持續(xù)不穩(wěn)定波動(dòng)的背景下,對(duì)股指期貨成交量和波動(dòng)進(jìn)行合理的管制,可降低期貨市場(chǎng)對(duì)股票市場(chǎng)的波動(dòng)溢出效應(yīng),進(jìn)而有效防范資本市場(chǎng)風(fēng)險(xiǎn)。
[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(guó)有經(jīng)濟(jì)研究中心;
【基金】：國(guó)家建設(shè)高水平大學(xué)公派研究生項(xiàng)目(編號(hào):201606170156) 吉林大學(xué)研究生創(chuàng)新基金資助項(xiàng)目(編號(hào):2016007)的成果
【分類號(hào)】：F724.5

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