上证50指数与其衍生品的波动特征及溢出效应  

Volatility Characteristics and Spillover Effects of the SSE 50 Index and Its Derivatives

作　　者：王雪 WANG Xue(College of Finance,Xinjiang University of Finance and Economics,Urumgi 830012,China)

机构地区：[1]新疆财经大学金融学院,新疆乌鲁木齐830012

出　　处：《郑州航空工业管理学院学报》2021年第1期101-112,共12页Journal of Zhengzhou University of Aeronautics

摘　　要：全球金融市场波动加剧,市场投资者规避风险需求增加,对具有风险规避功能的金融衍生品与其标的资产之间波动率相互影响的研究显得尤为重要。文章对上证50指数、上证50股指期货与50ETF三者之间的波动率溢出效应进行了实证研究,发现:上证50指数和上证50股指期货均对自身存在负向溢出,且三者收益率之间也存在均值外溢;上证50指数、上证50股指期货与50ETF不仅对自身存在波动率溢出效应,相互之间也存在波动率外溢,且长短期波动率外溢效果不同;DCC模型显示三个收益率序列间的相关系数随着时间的变化而变化,该结果可以运用于对冲比率和投资组合的计算。对波动率的准确把握有助于进行风险防范,实现保值交易和套利交易等。Global financial market volatility has intensified,and market investors’demand for risk aversion has increased.Research on the interaction between the volatility of financial derivatives with risk aversion functions and their underlying assets is particularly important.This paper conducts an empirical study on the volatility spillover effects between the Shanghai 50 Index,the SSE 50 Stock Index Futures and the 50 ETF.It is found that:Both the SSE 50 Index and the SSE 50 Stock Index Futures have negative spillovers on themselves,and there is also a mean spillover between the three yields;The SSE 50 Index,SSE 50 Stock Index Futures and 50 ETF not only have volatility spillover effects on themselves,but also have volatility spillovers between them,and the effects of long-term and short-term volatility spillovers are different;The DCC model shows that the correlation coefficient between the three return rate series changes with time,and then we use the results to calculate the hedge ratio and portfolio.The accurate grasp of volatility is helpful for risk prevention,realizing hedging transactions and arbitrage transactions.

关 键 词：上证50指数 股指期货 金融市场 ETF 多元GARCH 

分 类 号：F832.5[经济管理—金融学]