CAJ | 학술논문

基于非参数方法识别中国股指期货市场日内价格跳跃行为，改进HAR-CJ波动模型分析期货开盘跳跃行为的内在机制和溢出效应，研究发现：股指期货交易日内开盘跳跃行为包括隔夜不确定性收益及其在日内波动延续；股指期货日内开盘的一般性跳跃行为可由反映市场预期的价格波动行为解释；股指期货开盘跳跃相较盘中密集分布跳跃行为融入市场速度更快；股指期货开盘跳跃行为对交易日价格波动和股票现货市场的溢出效应明显。在此基础上。就机构投资者和市场监管者如何加强风险管理提出相关对策建议。
기우비삼수방법식별중국고지기화시장일내개격도약행위，개진HAR-CJ파동모형분석기화개반도약행위적내재궤제화일출효응，연구발현：고지기화교역일내개반도약행위포괄격야불학정성수익급기재일내파동연속；고지기화일내개반적일반성도약행위가유반영시장예기적개격파동행위해석；고지기화개반도약상교반중밀집분포도약행위융입시장속도경쾌；고지기화개반도약행위대교역일개격파동화고표현화시장적일출효응명현。재차기출상。취궤구투자자화시장감관자여하가강풍험관리제출상관대책건의。
In this paper weanalyzed the opening jump behaviors of China＇s stock index futures based on the Bollerslev＇s non parameter method, modified HAR-CJ volatility model, and analyzed its inherent mechanism and spillover effect. The research findings show that the opening jump behaviors includes overnight uncertainties and the sequent fluctuations;the ordinary opening jump of stock index futures can be explained by price fluctuations that can reflect market expectations; compared to the intraday jump behaviors, the opening jumps quickly integrate into the market; the opening jump behaviors exert a significant influence on the realized price volatility and the spillover effect of stock market. At last this paper presented relevant risk management advice to institutional investors and market regulators.