基于多元随机波动模型方法的股指期货与现货关系研究——以亚洲五地金融市场为例  

On the Relationship between the Stock Index Futures and Spots by Using Multivariate Stochastic Volatility Model

作　　者：谢东升[1] 李德志 

机构地区：[1]复旦大学管理学院,上海200433 [2]台湾第一银行

出　　处：《上海金融》2011年第6期79-85,共7页Shanghai Finance

摘　　要：本文以多元随机波动模型检视亚洲五个主要金融市场股指期货与现货的报酬关系与波动溢出效应。实证发现,五地金融市场股指期货与现货之间皆存在双向的波动溢出效应。股指现货动态相关系数和波动持续系数均高,显示现货市场具有聚类的现象。此外,本研究进一步探讨股指期货与现货的联动和共同波动因子的关系,实证发现,股指期货与现货的波动关系是同时受到共同信息发布的影响。This paper,using Multivariate Stochastic Volatility Model（MSV）,investigates the volatility spillover effect between stock index futures and spots in five Asian stock markets.The empirical results show that all of the five markets have bidirectional volatility spillover effect between stock index futures and spots.Parameters of the dynamic correlation and volatility persistence of stock index spots are both high,showing cluster phenomenon in spot market.Besides,the article also finds out that common information indeed has influence on the volatility of stock index futures and spots.

关 键 词：多元随机波动模型 溢出效应 动态相关 

分 类 号：F830.9[经济管理—金融学]