投资者关注与沪深300股票指数及股指期货波动溢出效应的传导研究——基于百度指数作为投资者关注度指标的考量  

Research on the Fluctuation Spillover Effect Transmission among Investor attention, CSI 300 Stock Index and CSI 300 stock index futures——Based on the Baidu Index as an indicator of investor attention

作　　者：田冰 刘晓雪[1] 胡俞越[1] 

机构地区：[1]北京工商大学

出　　处：《价格理论与实践》2019年第1期96-100,共5页Price:Theory & Practice

基　　金：北京社科基金一般项目和北京市教委重点项目(SZ20171001107);北京哲学社会科学首都流通业基地(JD-YB-2018-022)

摘　　要："百度指数"作为投资者关注的衡量指标,被用于投资者关注与股票市场波动或收益率的分析,但鲜少用于期货市场研究中。本文通过考察百度指数与成交量等市场指标之间的相关性、平稳性、VAR一阶滞后模型的基础上,利用BEKK-GARCH模型对投资者关注与沪深300股指期货、股票指数收益率之间的波动溢出效应进行了实证分析,结果表明:第一,百度指数在一定程度上能够精确即时地反映投资者关注;第二,滞后一期投资者关注对主要市场变量产生正向压力,这与股票市场的反应类似;第三,沪深300股指期货与沪深300股票指数之间存在双向波动溢出效应;第四,限仓措施一定程度上"阻断"了沪深300股指期货、现货市场向百度指数信息传递的有效路径,使得百度指数向沪深300股票期货与现货之间的传导由双向波动溢出转为单向波动溢出,进而提出了三条针对性的建议。As a measure of investor attention,"Baidu index" is used to analyze investor attention and stock market volatility or yield rate, but it’s rarely used in futures market research. Based on investigating the relationship,stationarity and VAR first-order lag model between Baidu index, trading volume and other market indicators, this paper uses the BEKK GARCH model to empirical analyze volatility spillover effect among investor attention, CSI300 stock index futures and stock index returns. the results show that: first, Baidu index can accurately reflect the investor attention in a certain extent;Secondly, with the first-order lag of investor attention have the positive pressure on major market variables, which is similar to the reaction of the stock market.;Thirdly, there is two-way fluctuation spillover effect between CSI 300 stock index futures and CSI 300 stock index;Fourthly, to some extent,the stock limit measure "blocked" the effective path of information transmission from the CSI 300 stock index futures and spot market to the Baidu index, which makes the transmission from Baidu index to the CSI 300 stock index futures and spot market changed from two-way fluctuation overflow to one-way fluctuation overflow, then put forward three targeted Suggestions.

关 键 词：投资者关注 百度指数 沪深300股指期货 沪深300股票指数 BEKK-GARCH模型 

分 类 号：F832.51[经济管理—金融学]