东北大学学报（社会科学版）

东北大学学报（社会科学版） ›› 2019, Vol. 21 ›› Issue (4): 344-350.DOI: 10.15936/j.cnki.1008-3758.2019.04.003

• 经济与管理研究 • 上一篇    下一篇

中国A股市场三种股指期货价格先导及波动溢出效应的计量检验

田树喜，夏天洋，杨童舒   

  1. (东北大学工商管理学院，辽宁沈阳110169)
  • 收稿日期:2019-01-15 修回日期:2019-01-15 出版日期:2019-07-25 发布日期:2019-07-19
  • 通讯作者: 田树喜
  • 作者简介:田树喜(1970-)，男，辽宁本溪人，东北大学副教授，经济学博士，主要从事金融衍生品市场发展研究;杨童舒(1982-)，女，辽宁沈阳人，东北大学讲师，经济学博士，主要从事金融发展与投融资问题研究。
  • 基金资助:
    辽宁省社会科学规划基金重点资助项目(L17AJY005)。

An Empirical Test on the Price Leading and Volatility Spillover Effect of the Three Index Futures in China's A-share Market

TIAN Shu-xi， XIA Tian-yang， YANG Tong-shu   

  1. (School of Business Administration， Northeastern University， Shenyang 110169， China)
  • Received:2019-01-15 Revised:2019-01-15 Online:2019-07-25 Published:2019-07-19
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摘要： 利用VAR-BEKK-GARCH模型，对2015年中国A股市场大震荡期间三种股指期货的价格先导及波动溢出效应进行了计量检验。检验结果显示，大震荡期间中证500指数期货的价格先导作用显著强于沪深300指数期货和上证50指数期货，而波动溢出效应则显著弱于沪深300指数期货和上证50指数期货，也就是说，股指期货的价格先导机制有助于提升市场的信息效率，进而发挥减震作用，这一检验结果在股指期货“松绑”后依然稳健。鉴于三种股指期货标的指数在权重组成上的差异，研究结论对中国股指期货交易的差异化监管及新合约设计具有借鉴意义。

关键词: 股指期货, 价格先导, 波动溢出

Abstract: Based on the VAR-BEKK-GARCH model， this paper tests the price leading and volatility spillover effect of the three stock index futures in China's A-share market during the great turbulent period in 2015. The test results show that during the turbulent period， the price leading effect of the CSE 500 index futures is significantly stronger than that of the CSI 300 index futures and the SSE 50 index futures， while its volatility spillover effect is significantly weaker than that of the CSI 300 index futures and the SSE 50 index futures. That is to say， the price leading mechanism of the stock index futures can improve the information efficiency and reduce the volatility of China' stock market. The test results are still robust after the “unbinding” of China' stock index futures. In view of the differences the weighted stocks of CSI 300， SSE 500 and CSE 500， the conclusions will provide reference for the differentiated supervision and the design of new contracts China's stock index futures.

Key words: stock index futures, price leading, volatility spillover

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