Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China

被引：34

作者：

Hou, Yang ^{[1
]}

Li, Steven ^{[2
]}

机构：

[1] Univ Waikato, Waikato Management Sch, Sch Accounting Finance & Econ, Private Bag 3105, Hamilton 3240, New Zealand

[2] RMIT Univ, Grad Sch Business & Law, 379-405 Russell St, Melbourne, Vic 3000, Australia

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2020年 / 66卷

关键词：

Volatility spillover; Skewness spillover; GARCH model; Skewed Student's t distribution; Chinese stock market crash; Chinese stock index futures; INTRADAY PRICE DISCOVERY; GLOBAL FINANCIAL CRISIS; LEAD-LAG RELATIONSHIP; TIME-SERIES; CONDITIONAL SKEWNESS; EXCHANGE-RATES; TRADING COSTS; TRANSMISSION; CASH; LINKAGES;

D O I：

10.1016/j.iref.2019.11.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines volatility and skewness spillover between Chinese stock index and index futures markets during the market crash in 2015. The results reveal that the volatility spillover from futures to spot is significant and stronger than the other way around and the transmission of downside risk is bilateral with the futures market taking the lead. Moreover, the measures announced during the market crash to curb the speculative futures trading appears to enhance the spillover of both volatility and skewness from futures to spot markets. This paper thus sheds some light on the validity of such measures to restore market efficiency during a stock market crash.

引用

页码：166 / 188

页数：23

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