跳跃视角下的股指期货价格发现功能研究  

Price Discovery of Stock Index Futures in the Perspective of Jumps

作　　者：潘冬涛 马勇[1] 刘云涛 PAN Dongtao;MA Yong;LIU Yuntao(College of Finance and Statistics,Hunan University,Changsha 410006,China)

机构地区：[1]湖南大学金融与统计学院,湖南长沙410006

出　　处：《运筹与管理》2023年第12期124-130,共7页Operations Research and Management Science

基　　金：国家自然科学基金面上项目(71971077);湖南省优秀青年科学基金(2019JJ30001)。

摘　　要：为了揭示中国股指期货在跳跃上的价格发现功能,本文采用具有自刺激和交叉刺激特征的二维Hawkes过程,对股指期货和现货的跳跃进行建模,并分别以我国沪深300、上证50和中证500股指期货和现货收益率作为样本,探究我国股指期货和现货的跳跃自刺激行为以及相互之间的跳跃交叉刺激作用。实证结果表明:Hakwes过程对三类股指期货和现货的跳跃均拟合得较好;股指期货和现货的跳跃存在着明显的同向自刺激,且除了中证500股指以外,下跳的自刺激均强于上跳;股指期货的跳跃会显著刺激股指现货发生跳跃,但股指现货的跳跃对股指期货的刺激并不显著。总而言之,中国股指期货在跳跃上具有价格发现功能,期货价格的跳跃能够引导现货价格发生跳跃,而现货价格跳跃对期货价格跳跃的引导作用则不明显。The price discovery of stock index futures is a core function for futures market,and is also regarded as an important indicator for measuring the level of market development.An effective price discovery function can be helpful for stabilizing the financial markets and improving the asset pricing mechanism,and optimizing the allocation of financial resources.Hence,it is of great significance to explore the relationship between Chinese stock index futures and spot markets,and evaluate the effect of price discovery function.In current literatures,the studies of price discovery are usually focused on the leading role of futures market in the aspect of trend and wave,while there is rarely a study of the jump.In theory,the new information flows from futures market to spot market,which means that the occurrences of a jump in futures market can,to some extent,herald a jump in spot market.Since the futures and spot jumps can cause enormous impact on trading system and disturb the normal order of financial market,and severely affect the investment decisions of investors,enough attention should be paid to the jump spillover from futures market to spot market by policymakers,practitioners and investors.Hence,it is significant in making reasonable investment strategy and managing jump risk effectively to explore the price discovery of Chinese stock index futures in jumps.To study the price discovery of Chinese stock index futures in jumps,this paper uses the 2-dimension Hawkes processes with self-excitement and cross-excitement features to model the jumps of futures and spot returns.Hawkes processes allow jumps of returns to cluster across the time and spread between futures and spot markets,and can describe the interaction mechanism between the jumps of futures and spot returns effectively.Base on Hawkes processes,this paper uses daily data to perform some empirical analyses of the jumps of futures and spot returns of CSI 300,SSE 50 and CSI 500,respectively.The sample period of CSI 300 is from January 1,2011,to December 31,2

关 键 词：股指期货 价格跳跃 价格发现 Hawkes过程 

分 类 号：F830[经济管理—金融学]