Difference of information transmission between the Chinese stock and index futures markets

被引：0
|
作者：
Zhao H. [1 ]
Chen X. [2 ]
Huang S. [3 ]
机构：
[1] Business School, Sun Yat-sen University, Guangzhou
[2] Department of Mathematics, The University of Huston, Houston
[3] School of Software and Microelectronics, Peking University, Beijing
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2018年 / 38卷 / 04期
基金：
中国国家自然科学基金;
关键词：
Bull and bear markets; Index futures; Information conduction;
D O I：
10.12011/1000-6788(2018)04-0863-10
中图分类号：
TH13 [机械零件及传动装置];
学科分类号：
080203 ;
摘要：
This paper uses a special perspective to document the difference phenomenon in bull and bear markets by studying the information transmission between the Chinese stock index futures and spot market. We extract the bull and bear market data samples respectively based on the historical market performance and apply BVGJR-GARCH-BEKK model and LM jump test method to examine the price discover, volatility spillover and jump risk. The empirical results indicate that futures market plays the leading role in the long-term price discovery in the bull market while price discovery is mutual in the bear market. Overconfidence effect can provide explanation of the difference. Furthermore, we find that there is an asymmetric volatility spillover effect between futures and spot markets. Besides, there are more jumps in the bear market from the unexpected information. © 2018, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.
引用
收藏
页码：863 / 873
页数：10
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