• 论文 •

中国股指期货与股票现货市场之间的风险传递效应研究

• 出版日期:2011-11-15 发布日期:2011-11-01

Risk Transmission between Stock Index Futures and Stock Index Spot Markets in China

Liu Qingfu Hua Renhai

• Online:2011-11-15 Published:2011-11-01

Abstract: For investigating the risk transmission between the stock index futures and stock index spot markets in China, the article investigate HS 300 stock index futures and HS 300 stock index markets from intraday information and overnight information aspects. The empirical results indicate that there are the significant bi-directional risk transmission relationships in two markets. And the risk spillovers from spot to futures are larger than the other way around. Moreover, there is a positive leverage effect from one market to the other in returns, whereas there is a negative leverage effect from one market to the other in risk. In addition, there are prominent impacts of overnight information of one market on intraday volatility of the other market, although there is evident forecast ability of overnight information to intraday returns only in futures market.