论文部分内容阅读
选用2012年1月至2014年3月间沪深300股指期现货数据,首次尝试在非对称的DCC-TGARCH模型的框架下,考察了转融券实施前后沪深300股指期现货的动态条件相关性,并结合VECM模型和CCF检验考察两市场间的信息溢出效应.实证结果表明,沪深300股指期现货之间存在很强的相关性和信息溢出效应,但是在不同的阶段有不同的特点:转融券实施前期现货市场间有相互的均值溢出;波动率溢出主要是现货到期货市场,瞬时溢出效应显著,不同的滞后阶数下两市场间几乎不存在方差的因果关系;相关性无非对称性.转融券实施后只存在期货对现货的单向均值溢出;在不同的滞后阶数下存在不同的风险溢出,特别是在2,3,8阶,同时存在期货向现货或者现货向期货的溢出效应;相关性有非对称性,但不广泛存在.
The paper selects the CSI 300 stock index spot data from January 2012 to March 2014 for the first time and examines the dynamic conditions of the CSI 300 stock index spot before and after the implementation of the coupon redemption under the asymmetric DCC-TGARCH model , And combined with the VECM model and the CCF test to examine the information spillover effect between the two markets.Experimental results show that there is a strong correlation and information spillover effect between the CSI 300 stock index spot but different characteristics in different stages : The implementation of the coupon redemption in the early spot market mutual mean overflow; volatility spillover is mainly the spot to the futures market, the instantaneous spillover effect is significant, the different lag orders almost no market between the two markets the variance causality; correlation is nothing more than Symmetry. After the implementation of the coupon redemption, there is only one-way mean spillover of futures to spot. There are different risk spills under different hysteresis levels, especially in the 2nd, 3rd, and 8th orders. Futures in the spot market or spot market The spillover effect of futures; the correlation is asymmetric but not widespread.