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本文通过BEKK-GARCH模型和最大重叠离散小波变换MODWT基础上的Granger因果关系检验实证分析了沪深300股指期货和指数间的波动溢出和价格发现关系。实证结果显示:沪深300指数和股指期货间存在显著的双向波动溢出关系;无论长期还是短期,股指期货都是沪深300指数的Granger原因。尽管我国股指期货市场仍处于初创期,但审慎监管基础上的金融衍生品市场已逐渐成为基础金融市场的重要风向标。
This paper empirically analyzes the relationship between volatility spillover and price discovery between the Shanghai and Shenzhen 300 stock index futures and the index through the Granger causality test based on the BEKK-GARCH model and the maximum overlap discrete wavelet transform MODWT. The empirical results show that there is a significant two-way volatility spillover relationship between the CSI 300 Index and the stock index futures. Both the long-term and the short-term, stock index futures are the Granger causes of the CSI300. Although China’s stock index futures market is still in its infancy, the financial derivatives market based on prudential supervision has gradually become an important benchmark in the basic financial markets.