恒生指数期货与现货市场之间的跳跃溢出行为研究  

Jump Spillover Behavior between HSI Futures and HSI Markets

作　　者：刘庆富[1] 朱迪华[2] 周思泓[3] 

机构地区：[1]复旦大学金融研究院,上海200433 [2]复旦大学经济学院,上海200433 [3]复旦大学数学学院,上海200433

出　　处：《管理工程学报》2011年第1期115-120,共6页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金项目(71073026;70873055);教育部人文社会科学规划项目(09YJC790044;08JA790064);上海哲学社会科学规划项目(2010BJB015)的资助

摘　　要：为探索恒生指数期货与现货市场之间的跳跃溢出行为,本文利用贝叶斯MCMC推断的SVCJ模型对恒生指数期货与现货市场的跳跃溢出概率、跳跃强度与跳跃大小进行了实证分析。研究结果表明:恒生指数期货与现货市场均存在明显的跳跃特征,并且,两市场之间具有显著的跳跃溢出行为;相对与包含跳跃的波动变化和收益,不包含跳跃的波动和收益模型会过度估计恒生指数期货与现货市场之间的相关性;对同日或次日而言,恒生指数期货市场对现货市场的条件跳跃溢出概率均大于现货市场对期货市场的条件跳跃溢出概率,且跳跃引起负收益的跳跃溢出概率均大于条件跳跃溢出概率;此外,恒生指数期货与现货市场之间的同日跳跃强度与同日跳跃大小均是显著的,相对而言,恒生指数期货的平均跳跃大小要远小于恒生指数的平均跳跃大小,并且,彼此的跳跃溢出均可在同日或次日到达对方。The jump behavior between Hang Seng index（HSI） futures and Hang Seng index（HSI） spot markets has received heated discussion.The objective of this paper is to provide insights on different forms of jump spillover behavior and help investors better understand the jump behavior.First,we measure the simultaneous jump intensities for these two markets and assess if these intensities are statistically significant from each other.Second,we perform an analysis of conditional jump spillovers to examine to what extent jumps occur in the two markets between January 4,2002 and December 31,2008.We use the correlated jumps（SVCJ） model and the Bayesian approach to estimate the jump spillover probabilities,jump intensities,jump sizes,and stochastic volatility.These methods are based on Markov chain Monte Carlo（MCMC） methods and enable us to estimate the latent processes of the model—in particular the jump times.We further analyze jump spillover effects between HSI future and spot markets based on the estimates of the latent jump times produced from these methods.We enter parameters into the SVCJ model by using the Bayesian MCMC method for the HSI futures and HSI spot markets.Historical log returns,the estimated jump probabilities and the annualized smoothed volatility paths are calculated.The analysis results show that jumps and prominent jump spillovers between HSI futures and HSI spot markets do exist.In addition,we calculate the simultaneous jump intensity of these two markets by simply dividing the number of overlapping observations by the number of identified simultaneous jumps.In comparison with volatility changes and returns,the model may overestimate the correlations between HSI futures and HSI spot markets because the jumps are not included.We also compare the conditional spillover probability in two conditions： same-day（conditional） jump spillover and next-day（conditional） jump spillover.Empirical testing results show that the HIS futures market has a higher conditional jump spillover probab

关 键 词：恒生指数 SVCJ MCMC 跳跃溢出 

分 类 号：F830.9[经济管理—金融学]