运筹与管理2018，Vol.27Issue(1)：153-159,7.DOI:10.12005/orms.2018.0023
我国股指期货与现货市场的波动溢出效应研究——基于HAR-CAW模型
Volatility Spillover Effects between Our Country's Index Futures and Spot Market——Based on HAR-CAW Model
摘要
Abstract
Volatility spillover effects between Shanghai and Shenzhen 300 index futures and spot market is of great significance for investors of risk management.This article is based on high frequency data,using heterogeneous financial market driven HAR-CAW model to study short-term, medium-term and long-term volatility spillovers between future market and spot market and of their own.The results show that there are two-way volatility spillover effects,but the effects are not asymmetric:the futures market dominates the volatility spillovers.On the study of two-way volatility spillover effects,the two markets have different performances during short-term,medi-um-term and long-term;on the study of its own spillover effects, overall speaking, volatility spillovers exist in each phase of the spot market,but not in the futures market.关键词
波动溢出/股指期货/高频数据/HAR-CAW模型Key words
volatility spillovers/index futures/high-frequency data/HAR-CAW model分类
管理科学引用本文复制引用
赵树然,袁东,任培民..我国股指期货与现货市场的波动溢出效应研究——基于HAR-CAW模型[J].运筹与管理,2018,27(1):153-159,7.基金项目
山东省自然科学基金(ZR2017MG005) （ZR2017MG005）
国家自科基金(71201147) （71201147）
国家社科基金重大项目(15ZDB171) （15ZDB171）
山东省社科基金(17CJRJ07) （17CJRJ07）
