日内价格行为视角下中国股指期货开盘跳跃风险管理  

A Study of Opening Jump Risk Management of China Stock Index Futures Market from the Perspective of Intraday Behaviors

作　　者：刘晓雪[1] 王新超[1] 胡俞越[1] 

机构地区：[1]北京工商大学经济学院,北京100048

出　　处：《北京工商大学学报（社会科学版）》2015年第4期78-84,共7页JOURNAL OF BEIJING TECHNOLOGY AND BUSINESS UNIVERSITY:SOCIAL SCIENCES

基　　金：北京市属高等学校创新团队建设项目--价格波动研究创新团队:价格波动研究(IDHT20130505);国家社会科学基金重大项目(14ZDA034);国家社会科学基金项目(10BGJ021)

摘　　要：基于非参数方法识别中国股指期货市场日内价格跳跃行为,改进HAR-CJ波动模型分析期货开盘跳跃行为的内在机制和溢出效应,研究发现:股指期货交易日内开盘跳跃行为包括隔夜不确定性收益及其在日内波动延续;股指期货日内开盘的一般性跳跃行为可由反映市场预期的价格波动行为解释;股指期货开盘跳跃相较盘中密集分布跳跃行为融入市场速度更快;股指期货开盘跳跃行为对交易日价格波动和股票现货市场的溢出效应明显。在此基础上,就机构投资者和市场监管者如何加强风险管理提出相关对策建议。In this paper weanalyzed the opening jump behaviors of China＇s stock index futures based on the Bollerslev＇s non parameter method, modified HAR-CJ volatility model, and analyzed its inherent mechanism and spillover effect. The research findings show that the opening jump behaviors includes overnight uncertainties and the sequent fluctuations;the ordinary opening jump of stock index futures can be explained by price fluctuations that can reflect market expectations; compared to the intraday jump behaviors, the opening jumps quickly integrate into the market; the opening jump behaviors exert a significant influence on the realized price volatility and the spillover effect of stock market. At last this paper presented relevant risk management advice to institutional investors and market regulators.

关 键 词：股指期货 开盘跳跃 日内价格行为 风险管理 

分 类 号：F832.51[经济管理—金融学] F224