基于MVMQ-CAViaR模型的在岸离岸股指期货极端风险溢出效应研究  

A Study on the Extreme Risk Spillover Effect of Onshore and Offshore Stock Index Futures Based on MVMQ-CAVia R Model

作　　者：卜林 贾骁涵 施健伟 周莹莹 Bu Lin;Jia Xiaohan;Shi Jianwei;Zhou Yingying

机构地区：[1]天津财经大学金融学院 [2]天津财经大学珠江学院经济学院

出　　处：《投资研究》2022年第11期82-96,共15页Review of Investment Studies

基　　金：国家社会科学基金一般项目“混业经营下中国交叉性金融风险的识别、度量及预防研究”(20BJY240)。

摘　　要：本文基于递归MVMQ-CAViaR模型,对在岸与离岸股指期货极端风险溢出效应进行研究。结果显示:总体表现上,无论是前期冲击还是极端风险,在岸对离岸股指期货的影响强度更大,离岸股指期货显著影响在岸股指期货的频次更高。不同品种期货关系表现为:富时中国A50与中证500间存在双向极端风险溢出效应,富时中国A50对沪深300、中证500对恒生H股指数以及恒生H股指数对上证50存在极端风险溢出效应。Based on the recursive MVMQ-CAViaR model,this paper studies the extreme risk spillover effects of onshore and offshore stock index futures.The results show that:On the whole,whether early shock or extreme risk,onshore stock index futures have a stronger impact on offshore stock index futures,and offshore stock index futures have a higher frequency of significant impact on onshore stock index futures.The relationships between different futures show that there is a bidirectional extreme risk spillover effect between FTSE China A50 and CSI 500.And FTSE China A50 to CSI 300,CSI 500 to HSCEI and HSCEI to SSE50 have extreme risk spillover effects.

关 键 词：股指期货 极端风险溢出 递归MVMQ-CAViaR模型 

分 类 号：F832.51[经济管理—金融学] F832.5