沪深300股指期货上市对现货市场连续波动和跳跃波动的影响

中国管理科学 ›› 2014, Vol. 22 ›› Issue (10): 9-18.

沪深300股指期货上市对现货市场连续波动和跳跃波动的影响

乔高秀¹, 刘强², 张茂军^1,3

1. 上海交通大学上海高级金融学院, 上海 200030;
2. 西南财经大学金融学院, 四川成都 611130;
3. 桂林电子科技大学数学与计算科学学院, 广西桂林 541004

收稿日期:2013-04-05 修回日期:2014-01-25 出版日期:2014-10-20 发布日期:2014-10-20
作者简介:乔高秀（1982-），女（汉族），山东济南人，上海交通大学上海高级金融学院，博士后，研究方向：金融工程.
基金资助:
国家自然科学基金资助项目（71271173，71001015，71101033，71301132）；中国博士后科学基金项目（2013M541526，2013M540372）；上海市博士后基金项目（13R21414700）

The Impact of CSI 300 Index Futures on the Continuous Volatility and Jump Volatility of the Cash Market in China

QIAO Gao-xiu¹, LIU Qiang², ZHANG Mao-jun^1,3

1. Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University, Shanghai 200030, China;
2. School of Finance, Southwestern University of Finance and Economics, Chengdu 611130, China;
3. School of Mathematics and Computing Science, Guilin University of Electronic Technology, Guilin 541004, China

Received:2013-04-05 Revised:2014-01-25 Online:2014-10-20 Published:2014-10-20

摘要/Abstract

摘要： 本文采用跳-扩散随机波动率模型研究沪深300股指期货上市对现货市场波动的影响。通过MCMC方法估计模型参数，对股指期货上市前后指数连续波动和跳跃特征进行比较分析，并与股指期货各指标作比较。研究发现，股指期货的上市确实起到了稳定现货市场的作用，上市短期内现货市场波动增大，随着时间增加现货市场波动逐渐降低，但是这一稳定效果主要体现在指数波动率的连续部分。股指期货上市后，指数连续波动向均值回归速度加快，并呈现出逐渐降低的趋势；“杠杆效应”在经历短暂的消失后逐渐显现；指数跳跃波动在总波动中所占比重较高，但随着交易时间增加，指数平均跳跃次数和跳跃波动所占比重逐渐降低。

关键词: 沪深300股指期货, 连续波动, 跳跃波动, MCMC方法

Abstract: The impact of CSI 300 index futures on the volatility of cash market is examined in this paper by using jump diffusion stochastic volatility models. The parameters are estimated in terms of MCMC method, the volatility and jump features of cash market before index futures is listed are compared with those of cash market after index futures, and are also compared with that of futures market. It is found that index futures do have stabilizing effect for cash market, but it mainly happens in continuous part of index volatility. Continuous volatility of index accelerates its mean reversion speed with the decreasing trend, and the leverage effect of index begins to appear with the time evolving although there is no leverage effect at the beginning. The proportion for jump volatility of index is high, but jump size and jump proportion appears to be decreasing.

Key words: CSI 300 stock index futures, continuous volatility, jump volatility, MCMC method

中图分类号:

F830.9

乔高秀, 刘强, 张茂军. 沪深300股指期货上市对现货市场连续波动和跳跃波动的影响[J]. 中国管理科学, 2014, 22(10): 9-18.

QIAO Gao-xiu, LIU Qiang, ZHANG Mao-jun. The Impact of CSI 300 Index Futures on the Continuous Volatility and Jump Volatility of the Cash Market in China[J]. Chinese Journal of Management Science, 2014, 22(10): 9-18.

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