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文章将股指期货与ETF这两种指数衍生品纳入研究框架,基于市场波动时变的视角,分别从市场波动溢出效应层面与市场波动时变相关性层面,对中国股指期货市场、ETF市场与股票市场之间的联动效应展开研究,实证研究结果表明:中国股指期货市场、ETF市场与股票市场彼此之间关系紧密,三个市场一体化程度高,联动性强。三个市场的联动呈现波动溢出效应,具体表现为股票市场与ETF市场对股指期货市场存在单向的波动溢出,而股票市场与ETF市场彼此问具有显著的双向波动溢出效应,股票市场在新息上更多地向ETF市场溢出,而ETF市场在过去累积信息上更多地向股票市场溢出。
Based on the perspective of market volatility and time-varying, the article separately introduces the stock index futures and ETF derivatives into the research framework. From the perspective of the market volatility spillover effect and the market volatility time-varying correlation, this paper analyzes the relationship between the Chinese stock index futures market, ETF market and stock The results of empirical research show that the relationship between China’s stock index futures market, ETF market and stock market are closely related to each other, the three markets are highly integrated and the linkage is strong. The interaction between the three markets shows the effect of volatility spillover, which is manifested in one-way volatility spillover of the stock index futures market in the stock market and the ETF market. However, the stock market and the ETF market have significant two-way volatility spillovers from each other, On the more overflowing to the ETF market, while the ETF market in the past accumulated more information on the stock market overflow.