Intraday Volatility Spillovers between Index Futures and Spot Market: Evidence from China

被引：11

作者：

Zhou, Zhou ^{[1
,2
]}

Dong, Huiyan ^{[1
,2
]}

Wang, Shouyang ^{[1
,3
]}

机构：

[1] Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100080, Peoples R China

[2] Univ Chinese Acad Sci, Sch Management, Beijing 100080, Peoples R China

[3] Acad Sci, Acad Math & Syst Sci, Beijing 10080, Peoples R China

来源：

2ND INTERNATIONAL CONFERENCE ON INFORMATION TECHNOLOGY AND QUANTITATIVE MANAGEMENT, ITQM 2014 | 2014年 / 31卷

关键词：

Index Futures; High Frequency Data; Volatility Spillover; TVP-VAR; PRICE DISCOVERY; STOCK INDEX; STANDARD-AND-POOR-500; INDEX; REALIZED VOLATILITY; MONETARY-POLICY;

D O I：

10.1016/j.procs.2014.05.320

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

This paper examined the volatility spillover effects between futures market and spot market in China, using both VAR model and TVP-VAR model. This study found strong bi-directional volatility spillovers between CSI futures and spot markets, and the change of futures' volatility decreased the change of spot market's volatility. This results support the hypothesis that the risk management function of the futures market could calm the whole market when new shock comes. The innovation of this paper is to capture the dynamic of the relationship by using the TVP-VAR model. The empirical results show that the influence of futures market on spot market enlarged as time passed, especially at the third quarter of 2011. After that, the relationship became stable. (C) 2014 Published by Elsevier B.V. Open access under CC BY-NC-ND license.

引用

页码：721 / 730

页数：10

共 25 条

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