Jump spillover between Chinese stock market and stock index futures market

摘要：

This paper examines jump spillover effects between Chinese stock market and stock index futures market.In order to identify the latent historical jump times,we use a Bayesian approach to estimate an event risk model on Chinese large-cap stocks and benchmark index of stock index futures,which supplements the study by Asgharian and Bengtsson (2006).We find significant evidence of jump spillover effects at the same time as well as 5 minutes leading from large-cap stocks to benchmark index.Our empirical results facilitate more effective stock index futures market design.

关键词： event risk spillover effect Markov Chain Monte Carlo stock index futures

作者: Ning Yao Longbin Zhang Ye Li

作者单位: Management School of Tianjin University 300072

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: 296-301

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）