中美股市跳跃溢出效应及跳跃对未来波动的影响研究  

Study on the Jump Spillover Effect of Sino-US Stock Markets and the Impact of Jumps on Future Volatility

作　　者：潘群星 孙羽佳 高天晴 杜修立[1] Pan Qunxing

机构地区：[1]南京财经大学金融学院,江苏南京210023

出　　处：《金融理论与实践》2023年第1期12-24,共13页Financial Theory and Practice

基　　金：教育部人文社会科学(规划基金)研究项目“贸易摩擦背景下中美股市波动若干典型事实特征和跨国风险传染性研究”(20YJAZH080);江苏省社会科学基金重点项目“投资者有限注意力约束下的政策投机与股市动态研究”(19EYA001);江苏高校哲学社会科学研究重大项目“投资者注意力分配视角下政府干预影响股票市场的动态机制与策略优化研究”(2019SJZDA062);江苏省自然科学基金项目“企业环境行为的演化博弈模型”(BK20190791)的阶段性成果。

摘　　要：选取新冠肺炎疫情暴发前后上证综合指数和标普500指数的日内与隔夜收益率数据为样本,分别基于跳跃相依随机波动率(SVCJ)模型和广义自回归得分(GAS)模型实证研究了中美股市之间的跳跃溢出效应(包括溢出概率、强度和幅度)以及跳跃对未来波动的影响。相关结论如下:中美股市在疫情暴发前后均存在跳跃成分;中国股市对美国股市的跳跃溢出概率更高、强度更大;中美股市的跳跃溢出概率和强度存在一日滞后效应;跳跃对中国股市未来波动的影响更加深远,美国股市存在跳跃杠杆效应。这些结论对公共卫生突发事件下投资决策和金融监管具有一定的意义。Based on the stochastic volatility with correlated jumps(SVCJ)model and the generalized autoregressive score(GAS)model,this paper empirically studies the jump spillover effect(including the probability,intensity and magnitude of the spillover)between the US and Chinese stock markets and the impact of jumps on future volatility,taking the intraday and overnight returns data of the Shanghai Composite Index and the S&P500 Index before and after the COVID-19 outbreak as samples.The conclusions are as follows:there were jumping components in both the US and Chinese stock markets before and after the outbreak.The probability and intensity of jumps spillover from the Chinese stock market to the US stock market are higher.There was a one-day lag effect in the probability and intensity of jump spillover between the US and Chinese stock markets.The impact of jumps on future volatility of the Chinese stock market is more profound,and there is a jump leverage effect in the US stock market.These findings have certain implications for investment decisions and financial regulation under public health emergencies.

关 键 词：跳跃成分 跳跃溢出不对称性 跳跃杠杆效应 中美股市 公共卫生突发事件 

分 类 号：F831.51[经济管理—金融学]