基于高频数据的中国股指期货跨市场信息冲击实证研究  

The Empirical Research of Information Impacts Cross-Chinese Stock Index Futures Market and Spot Market Based on the High Frequency Data

作　　者：周伍阳[1] 马冰[2] 

机构地区：[1]重庆理工大学经济与贸易学院,重庆400050 [2]中国人民银行福州中心支行,福建福州350003

出　　处：《金融理论与实践》2012年第10期92-95,共4页Financial Theory and Practice

基　　金：国家自然科学基金项目(项目编号70703024)

摘　　要：期货市场与现货市场间的联动关系一直是理论与实务界关心的热点,新兴市场国家的股指期货市场受到跨市场信息冲击更为明显。我们采用1分钟高频数据,应用ARIMA(p,d,q)模型将我国股指期货与现货市场的场收益率分离成预期信息和非预期信息,然后把这两个变量引入到二元GARCH(1,1)模型的条件均值方程中,分析预期信息和非预期信息对于两市场的冲击效应,进一步通过模型的条件方差方程来探讨市场信息对收益率波动的影响。实证研究结果表明,我国股指期货市场与现货市场存在着显著的信息冲击不对称效应,尽管两市场间的波动溢出效应仅在短期内成立。The linkage relationship between the future and spot market is always concerned by the theory and practice sectors, but information transmission effect in emerging countries＇ index futures markets are more obvious than the developed markets. At first, ARIMA （p, d, q） model is applied in this paper to separate the return rate of stock index future and hs300 into expected variables and unexpected variables. Then the variables are introduced to the conditional mean equations of the BV-GARCH （1, 1） models to study the information transmission and volatility spillover effect of the return rate between China stock index futures market and spot market. Finally the empirical results showed that there are significant asymmetric effects of information transmission and two-way volatility spillover effects of return rate.

关 键 词：股指期货市场 沪深300现货市场 二元GARCH模型 信息冲击 

分 类 号：F830.91[经济管理—金融学]