沪深300股指期货的价格发现能力及波动溢出效应研究——基于BEEK-GARCH模型的证据  

Evidence of the Price Discovery and Volatility Spillover of the CSI 300 Stock Index Futures Based on the BEEK-GARCH Model

作　　者：陶启智[1] 李亮[1] 郭姝辛[1] 

机构地区：[1]西南财经大学金融学院,成都611130

出　　处：《西南大学学报（自然科学版）》2015年第11期104-113,共10页Journal of Southwest University(Natural Science Edition)

基　　金：国家自然科学基金项目(71271173)

摘　　要：以沪深300股指期货自推出至今的1分钟数据作为研究样本,使用BEEK-GARCH模型量化沪深300股指期货和现货市场的价格发现能力及波动溢出效应.研究发现,我国期货市场成立初期并未发挥其价格发现功能,这一现象随着市场成熟度增加而逐渐改善,期货市场在价格发现过程中占主要地位.通过GARCH模型对收益率调整过程进行估计,发现市场之间存在双向波动溢出效应:短期内表现出均值回归;长期来看,误差修正项系数显著异于0,符合调整的负反馈性质,价格偏差会被纠正从而达到长期均衡.With the 1 minute interval data up to the present time of the CSI 300 stock index futures as the samples ,this paper quantitatively studies the price discovery and volatility spillover of the CSI 300 stock index futures and spot markets ,using the BEEK‐GARCH model .The impulse response function and vari‐ance decomposition are used to imply the price discovery ,w hich show s that the future market plays a more important role .A vector error correction model is built to describe the dynamic adjustment of the futures and spot price of stock indexes .The result shows that there exists a two‐way granger causal relationship between the futures and the spots ,as well as a volatility spillover effect .The regression will return to the mean in the short run and satisfies the negative feedback of the correction that the existence of arbitrage will adjust the bias to the equilibrium in the long run .

关 键 词：沪深300指数期货 价格发现功能 波动溢出效应 

分 类 号：F830.91[经济管理—金融学]