国内外非同步期货交易市场之间的跳跃溢出行为:基于风险事件的视角  

Jump spillovers between domestic and overseas non-synchronous futures markets:Based on the perspective of risk events

作　　者：刘庆富[1] 许友传[1] 

机构地区：[1]复旦大学金融研究院,上海200433

出　　处：《系统工程理论与实践》2011年第4期679-690,共12页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70932003;71073026;70873055);教育部人文社会科学项目(09YJC790044);上海哲学社会科学规划项目(2010BJB015)

摘　　要：为探索国内外非同步期货交易市场之间的跳跃溢出行为,利用贝叶斯MCMC推断的SVCJ模型对国内外期货市场之间的跳跃溢出概率、跳跃溢出强度、跳跃溢出频度及溢出的跳跃大小进行了实证分析.研究结果表明:国内外期货市场存在显著的跳跃溢出概率与跳跃溢出强度;对跳跃溢出的概率和强度而言,国外期货市场的跳跃更可能在第二天到达国内期货市场,而国内期货市场的跳跃则更可能在同日到达国外期货市场,且国内期货市场的跳跃溢出到达次日国外期货市场的频度相对更高,这些现象可主要归因于国内外期货市场正规交易时间的非同步性;另外,溢出跳跃大小的测度进一步支持了跳跃溢出行为大都是由不寻常的风险事件引起的观点.For exploring jump spillovers between domestic and overseas non-synchronous futures markets, the conditional jump spillover probabilities,jump spillover intensity,frequency degree of jump spillover and average size of jump spillover between domestic and overseas non-synchronous futures markets were investigated empirically through Bayesian Markov Chain Monte Carlo（MCMC） method.The results show that there are significant conditional jump spillover probabilities and jump spillover intensity.In general, the jump in oversea futures markets more probably arrive at domestic futures markets in next-day,while the jumps in domestic futures markets more probably arrive at oversea futures market in same-day.Moreover, the frequency degree of jump spillover in domestic futures market arriving at oversea futures market in next-day is higher than that of other different jump spillover cases.These phenomena may attribute to non-synchronous characteristic of regular trading time between domestic and oversea futures markets. Furthermore,the measurement of average size of jump spillover supports that the jump spillovers mainly owe to unusually risk events.

关 键 词：风险事件 SVCJ MCMC 非同步 跳跃溢出 

分 类 号：F830.9[经济管理—金融学]