股灾背景下沪深300股指期货与现货的波动溢出效应研究
The Volatility Spillover Effect between CSI300 Stock Index Futures and Spot under Stock Market Crash
DOI: 10.12677/FIN.2018.85022, PDF,    科研立项经费支持
作者: 王 佳*, 俞 捷：东北大学秦皇岛分校经济学院，河北 秦皇岛；王 旭：河北环境工程学院经济学院，河北 秦皇岛
关键词: 波动溢出；修正EGARCH；股灾；沪深300股指期货；Volatility Spillover； Modified EGARCH； Stock Market Crash； CSI300 Stock Index Futures
摘要: 为研究不同市场状态下沪深300股指期货和现货的波动溢出效应，本文将我国股票市场分为股灾前、股灾中和股灾后三种状态，利用实际市场数据运用修正的EGARCH模型分别分析三种不同状态下沪深300股指期货和现货之间的跨市场波动溢出效应和非对称效应。结果表明，只有在股灾中的股市衰退阶段，两市场间才存在显著的双向波动溢出效应。最后本文针对实证分析中市场中暴露出的可能存在的问题提出合理的解释。
Abstract: In order to study volatility spillover effect between CSI300 stock index futures and spot under dif-ferent states of market, we divide our stock market into three regimes, including before crash, in crash and after crash. Modified EGARCH model is used to analyze the volatility spillover effect and asymmetric effect between CSI300 stock index futures and spot for the three different regimes. Result shows that only in crash period, the two markets have volatility spillover effect mutually. At last, on account of the existing problems exposed in the empirical analysis, reasonable explanations are made.
文章引用：王佳, 俞捷, 王旭. 股灾背景下沪深300股指期货与现货的波动溢出效应研究[J]. 金融, 2018, 8(5): 191-199. https://doi.org/10.12677/FIN.2018.85022

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