选用2012年1月至2014年3月间沪深300股指期现货数据,首次尝试在非对称的DCC-TGARCH模型的框架下,考察了转融券实施前后沪深300 股指期现货的动态条件相关性,并结合VECM模型和CCF检验考察两市场间的信息溢出效应.实证结果表明,沪深300股指期现货之间存在很强的相关性和信息溢出效应,但是在不同的阶段有不同的特点: 转融券实施前期现货市场间有相互的均值溢出;波动率溢出主要是现货到期货市场,瞬时溢出效应显著,不同的滞后阶数下两市场间几乎不存在方差的因果关系;相关性无非对称性.转融券实施后只存在期货对现货的单向均值溢出;在不同的滞后阶数下存在不同的风险溢出, 特别是在2, 3, 8阶,同时存在期货向现货或者现货向期货的溢出效应;相关性有非对称性,但不广泛存在.

Chooses between January 2012 and March 2012 between CSI 300 stock index spot-future data, in asymmetric DCC-TGARCH model framework investigates the dynamic conditions correlation between the csi 300 index spot-future before and after the securities load, based on the VECM model and the CCF test to investigate the information spillover effect between the two markets. The empirical results show that, the csi 300 index spot-future exists a strong correlation and the information spillover effect, but in different stages have different features, pre-survey before transfer securities have mutual mean spillover between the spot-future market; volatility spillover mainly the spot market to futures, the instantaneous spillover effect is remarkable, under the different lag almost non-existent variance of causal relationship between the two markets, there is not correlation of asymmetry. On the spot after implementation is only for short futures mean spillover in one direction, there are different between the two markets under the lag number of significant risk of overflow, especially in the order 2, 3, 8, spillover effects exist futures to spot or spot to futures; correlation is asymmetry, the asymmetry of the correlation is not widespread.