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本文基于VAR、VECM和BEKK模型检验国内股权市场与境外中国概念股指衍生产品市场间的信息流动关系,结果表明:国内股票现货市场、国内股指期货市场对境外中国概念股指衍生产品市场不具有在收益率和波动性上的传导效应;境外中国概念股指衍生品市场对国内股票现货市场和国内股指期货市场仅具有在收益率上的引导效应,单向引导国内股票市场和国内股指期货市场的价格变动,处于价格信息的中心地位;但在波动传递效应方面,市场信息则不能有效地从境外中国概念股指衍生品市场传递到国内股票现货和国内股指期货市场。同此前相关研究结果对比,我们认为国内股指期货交易的引入增强了股票现货市场的稳定性。
Based on VAR, VECM and BEKK models, this paper examines the information flow relationship between the domestic equity market and the offshore China concept stock index derivatives market. The results show that domestic stock spot market and domestic stock index futures market have no effect on the overseas derivative stock market Rate and volatility; offshore China concept stock index derivatives market on the domestic stock market and the domestic stock index futures market only has a guiding effect on the yield, one-way guide the domestic stock market and the domestic stock index futures market price changes , But at the center of price information. However, in terms of volatility, market information can not be effectively transferred from overseas China concept stock index derivatives market to domestic stock spot and domestic stock index futures market. Compared with the previous relevant research results, we believe that the introduction of domestic stock index futures trading has strengthened the stability of the stock spot market.