股指期货与股指期权市场之间的风险传递效应研究——来自香港恒生指数衍生品市场的证据  

Risk Transmission between Stock Index Futures and Options Markets——the Evidences from Hangseng Index Derivative Markets

作　　者：魏洁[1] 韩立岩[2] 

机构地区：[1]山东师范大学经济学院,山东济南250014 [2]北京航空航天大学经济管理学院,北京100191

出　　处：《数理统计与管理》2014年第6期1132-1140,共9页Journal of Applied Statistics and Management

基　　金：山东省社科规划研究青年项目(13DJJJ19);山东省高校人文社科研究项目(J13WF02);国家自然科学基金重点项目(70831001);面上项目(70671005)

摘　　要：为探索股指期货市场与股指期权市场之间的风险传递效应,本文以香港恒指期货市场和恒指期权市场为例,对股指期货和股指期权市场之间的内在波动性动态关系进行了深入细致的实证研究。主要结论为:(1)恒指期货市场和恒指期权市场价格之间具有长期均衡关系;(2)协整残差项对恒指期货市场和恒指期权市场的条件均值和条件方差具有很好地解释力量,并能够更加准确地刻画恒指期货市场和恒指期权市场之间的波动性;(3)香港恒指期货市场和恒指期权市场的溢出效应是彼此不同的,期权市场对期货市场能够起到价格发现的功能。本文的结论为中国适时推出股指期权产品,进而完善我国风险管理体系提供了坚实的证据。For studying risk transmission between stock index futures and options markets, a bivariate Exponential Generalized Autoregressive Conditional Heteroskedasticity （EGARCH） model was developed for Hangseng index derivatives markets. The results are as follows： （1） the option market and futures market have long - run equilibrium relationships, （2） the eointegrating residual can be an important explanatory variable for both the conditional mean and the conditional variance and can describe the volatility accurately in option and futures markets, （3） there are different behaviors in the way on transmitting information, the option market plays an important price discovery role for the futures market. This conclusion gives evidence that China should continuously launch the stock index options in due time and improve the risk management system of the capital market through the development of stock index options market.

关 键 词：股指期权 股指期货 波动性 风险传递 长期均衡 

分 类 号：F831[经济管理—金融学] O212[理学—概率论与数理统计]