股指期货与现货市场风险高频变化交叉相关性研究  

Cross Correlation Characteristics of Risk in Spot and Future Markets

作　　者：温博慧[1] 边学涛 

机构地区：[1]天津财经大学经济学院,天津300222 [2]招商银行股份有限公司天津分行,天津300222

出　　处：《广东财经大学学报》2015年第6期27-36,共10页Journal of Guangdong University of Finance & Economics

基　　金：国家自然科学基金青年项目(71103126);天津市哲学社会科学规划项目(TJYY1503)

摘　　要：在多重分形分析框架下以MV表征市场风险,将MV与MF-X-DFA算法相结合并加以拓展,实证检验经济转型时期我国沪深300股指期现市场间风险交叉相关性特征和结构性成因,并对当月和次月连续期货合约对现货风险控制效果的差异进行比较。结果表明:我国沪深300股指期现市场间风险的交叉相关性具有正向持续的多重分形特征;在高风险波动期,股指期货对现货风险的整体控制能力不足;次月连续合约无论在风险交叉相关关系的正向持续性还是期货对现货的风险控制能力方面均较当月连续合约更具优势;现货市场风险的长记忆性和期货市场风险的厚尾分布特征是期现市场风险交叉相关多重分形特征的数据结构性成因。Under the framework of multi-fractal analysis,the risk of markets is represented by MV,with MV and MF-X-DFA combined. The paper makes an empirical analysis of the cross correlation characteristics of risk and sources of structure between the CSI 300 index's spot and future markets,and compares the different effects of risk control between the continuous spot contracts in the current month and the following month. The results show that the cross correlation of risk shows positive persistent multi-fractal characteristics; in the high-risk period,stock index futures are insufficient for controlling the risk of the spot market;the following month's continuous contracts are better than the current month's continuous contracts in both the positive persistence of risk cross correlation and the control ability of futures on the spot; multi-fractal characteristics of cross correlation of risk between future and spot markets are caused by the long memory of the spot market risk and the fat-tail distribution of the future market risk.

关 键 词：沪深300股票指数 风险交叉相关性 多重分形波动度 多重分形降趋波动交叉相关分析法 

分 类 号：F724.5[经济管理—产业经济] F224