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本文通过Lee and Mykland(2008)的跳检验统计量和GMM估计方法分析了我国股票市场的跳跃行为,并基于所估计的(跳跃)扩散模型对我国股指期货的定价表现进行分析与评估。实证结果表明,我国股票市场存在明显的跳跃风险,特别是在股指期货推出的初期,股市存在较大的跳跃性。另外,考虑跳的样本内模型定价表现都明显的优于未考虑跳的样本内模型定价表现,而考虑跳的样本外模型定价预测能力只略优于未考虑跳的样本外模型定价预测能力。跳跃强度绝对水平特征比相对水平特征具有更好的样本内拟合性,而跳跃强度相对水平特征比绝对水平特征具有更好的样本外预测性。
This paper analyzes the jump behavior of China’s stock market through jump test statistic and GMM estimation method of Lee and Mykland (2008), and analyzes and evaluates the pricing performance of China’s stock index futures based on the estimated (jump) diffusion model. The empirical results show that there is a clear risk of jump in China’s stock market, especially in the initial stage of the introduction of stock index futures, there is a big jump in the stock market. In addition, the pricing performance of the intra-sample model considering jumps is obviously better than that of the intra-sample model without jumps, while the pricing ability of the extra-sample model considering the jump is only slightly better than that of the extra-model pricing model without jumps. The absolute horizontal feature of the jump strength has better in-sample fit than the relative horizontal feature, while the relative horizontal feature of the jump strength has better out-of-sample predictability than the absolute horizontal feature.