我国大类资产信息溢出机制研究——基于方差分解的网络拓扑分析

采用广义溢出指数法对2011年至2017年我国股票、期货及债券三个市场之间的信息溢出机制进行了研究,结果发现:股市对期市和债市均有收益率溢出影响,而股市和期市对债市均有波动率溢出影响;三个市场的整体溢出指数值偏低,表明我国不同资产市场之间的关联性相对来说较小;时变特征也表明股市大多数情况处于溢出状态,期市方向不明确,债市则大多数情况处于被溢出状态;对溢出值的非对称检验发现,正向波动比负向波动的溢出值更大,但是统计上并不显著。对2015年6月股灾前后三个市场的波动率溢出情况进行分析后发现,股市的极端风险更容易向期市传染,而债市相对更为稳定,不容易被极端风险感染。

Research on the Mechanism of Spillover of Asset Information in China ——Network Topology Analysis Based on Variance Decomposition

The generalized spillover index method is used to discuss the information spillover mechanism between the three markets of China’s stock market, futures market and bond market from 2011 to 2017. The result shows that: the stock spill over to both the futures and the bond, while the stock and the futures have volatility spillover effect on the bonds; the overall spillover index value of the three markets is low, indicating that the impact between different capital markets in our country is relatively small. The time-varying characteristics also indicate that, in most years the stocks are in an overflow state, and futures direction is not clear, and the bond in most cases are being spilled. After analyzing the volatility spillover of the three markets before and after the stock market crash in June 2015, this paper finds that: the risk of the stock market is more likely to be transmitted to the futures market; the bond market is not easily infected by extreme risks.