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为了有效度量金融市场中因相互关联而引发的风险传染效应,并充分体现其时变性与频繁性,立足高频数据并结合时变测度模型进行分析可能是较为合适的方法。基于此,文章在时变传染效应测度模型基础上,以我国金属期货高频交易数据为样本进行实证,得出结论:(1)市场间存在的时变风险传染效应是该市场价格波动的重要影响因素;(2)高频数据呈现的传染现象受传染源市场波动影响大,而受前期传染效应的滞后影响小,该现象表明针对传染源的及时处理是控制风险传染的有效途径;(3)兼顾时变与高频因素的传染效应其影响程度与市场价格波动及已实现波动呈反比,该现象表明波动较大或前期波动大的市场受相关市场风险传染影响小。
In order to effectively measure the risk contagion effect caused by the interconnectedness in financial markets and to fully reflect the time-varying and frequent features, it is more appropriate to base on the high-frequency data combined with the time-varying measure model. Based on this, based on the model of time-varying contagion effect, the paper uses the high frequency trading data of metal futures in China as a sample and concludes that: (1) The time-varying risk contagion effect in the market is important for the market price fluctuations (2) The transmission of high-frequency data shows that the contagion phenomenon is greatly affected by the fluctuation of the source market and is less affected by the lag of the previous infection. This phenomenon indicates that the timely treatment of the source of infection is an effective way to control the risk of transmission. ) Considering the contagious effect of time-varying and high-frequency factors, the degree of influence is inversely proportional to the fluctuation in market prices and realized volatility. This indicates that the market with large fluctuations or large fluctuations in previous periods is less affected by the contagion of relevant market risks.