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以沪深300股指期货自推出至今的1分钟数据作为研究样本,使用BEEK-GARCH模型量化沪深300股指期货和现货市场的价格发现能力及波动溢出效应.研究发现,我国期货市场成立初期并未发挥其价格发现功能,这一现象随着市场成熟度增加而逐渐改善,期货市场在价格发现过程中占主要地位.通过GARCH模型对收益率调整过程进行估计,发现市场之间存在双向波动溢出效应:短期内表现出均值回归;长期来看,误差修正项系数显著异于0,符合调整的负反馈性质,价格偏差会被纠正从而达到长期均衡.
Taking the 1-minute data of Shanghai-Shenzhen 300 index futures since its launch as a sample, this paper uses the BEEK-GARCH model to quantify the price discovery ability and volatility spillover effect of Shanghai and Shenzhen 300 stock index futures and spot market.The study found that the initial stage of China’s futures market was not established Play the role of price discovery, this phenomenon gradually improves with the maturity of the market, and the futures market plays a dominant role in the price discovery process.Through the GARCH model to estimate the process of the rate of return adjustment, we find that there is a two-way volatility spillover effect between markets : In the short term, it shows a mean regression; in the long run, the coefficient of error correction term is significantly different from 0, in line with the negative feedback nature of adjustment, and the price deviation will be corrected so as to achieve long-term equilibrium.