上证50指数与其衍生品的波动特征及溢出效应

全球金融市场波动加剧,市场投资者规避风险需求增加,对具有风险规避功能的金融衍生品与其标的资产之间波动率相互影响的研究显得尤为重要.文章对上证50指数、上证50股指期货与50ETF三者之间的波动率溢出效应进行了实证研究,发现:上证50指数和上证50股指期货均对自身存在负向溢出,且三者收益率之间也存在均值外溢;上证50指数...

Volatility Characteristics and Spillover Effects of the SSE 50 Index and Its Derivatives

Global financial market volatility has intensified,and market investors’demand for risk aversion has increased.Research on the interaction between the volatility of financial derivatives with risk aversion functions and their underlying assets is particularly important.This paper conducts an empirical study on the volatility spillover effects between the Shanghai 50 Index,the SSE 50 Stock Index Futures and the 50 ETF.It is found that:Both the SSE 50 Index and the SSE 50 Stock Index Futures have negative spillovers on themselves,and there is also a mean spillover between the three yields;The SSE 50 Index,SSE 50 Stock Index Futures and 50 ETF not only have volatility spillover effects on themselves,but also have volatility spillovers between them,and the effects of long-term and short-term volatility spillovers are different;The DCC model shows that the correlation coefficient between the three return rate series changes with time,and then we use the results to calculate the hedge ratio and portfolio.The accurate grasp of volatility is helpful for risk prevention,realizing hedging transactions and arbitrage transactions.