| 股指期货波动溢出效应的实证研究——来自双变量EC—EGARCH模型的证据 |
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| 引用本文： | 张宗成,王郧.股指期货波动溢出效应的实证研究——来自双变量EC—EGARCH模型的证据[J].华中科技大学学报(社会科学版),2009,23(4):75-80. |
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| 作者姓名： | 张宗成 王郧 |
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| 作者单位： | 华中科技大学,经济学院,湖北,武汉,430074 |
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| 基金项目： | 国家自然科学基金项目，中国期货业协会联合研究计划资助项目 |
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| 摘 要： | 当前中国股指期货尚未上市,而香港市场的恒生股指期货则是一个很好的参照物.研究表明香港股市和期市之间存在相互引导关系,两市各自的波动性对消息的反应存在不对称性,并且期市和现市之间,期货交易产生的信息会加剧恒生指数的波动,而恒生指数的波动并不能对期货价格的波动产生显著的影响,因此存在不对称的溢出效应.
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| 关 键 词： | 股指期货 波动溢出 双变量误差修正 |
An Empirical Research of the Volatility and Spillover Effects of Stock Index Future Market Based on 2-EC-EGARCH Model |
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| ZHANG Zong-cheng,WANG Yun.An Empirical Research of the Volatility and Spillover Effects of Stock Index Future Market Based on 2-EC-EGARCH Model[J].Journal of Huazhong University of Science and Technology(Social Science Edition),2009,23(4):75-80. |
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| Authors: | ZHANG Zong-cheng WANG Yun |
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| Institution: | School of Economics;HUST;Wuhan 430074;China |
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| Abstract: | The volatility spillover effects between the stock index futures market and spot market is always a key point of research.Since there are no stock index futures in China mainland nowadays,we use the Hang Seng Index Futures and the Hang Seng Index as the study object.The research shows that there are bid lead-lag relations between the futures and spots,and the information transmission and spillover is asymmetric,which is defined as "asymmetric spillover effect".These conclusions are of great importance to ou... |
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| Keywords: | EGARCH |
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