A Study on Spillover Effect between A Index,H Index and H Index Futures

摘要：

This paper studies the spillover effect on index volatility between the Shanghai Stock index,the Shenzhen stock index,the H index and the H index futures by using of GARCH(1,1)-MA(1) model.The result shows that the H index futures have obvious unidirectional influence in spillover effect on the price volatility with the Shanghai Stock index and the Shenzhen stock index;moreover,the H index have limited significant single influence in spillover effects on price volatility with the Shenzhen stock index.We believe the main reason is the price discovery of the H index futures.

关键词： H index futures A index Spillover Effect GARCH Model

作者: Xiong Xiong Shuai Li Wei Zhang Yu Zhang

作者单位: Institute of System Engineering,Tianjin University,Tianjin,,300072 Institute of System Engineering,Tianjin University,Tianjin,300072;Tianjin University of Finance and

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 75-81

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）