富时/日本证券交易所40强指数与股指期货之间的波动溢出效应:Bekk-Garch和DCC-Garch方法

Q4 Economics, Econometrics and Finance

Journal for Studies in Economics and Econometrics Pub Date : 2018-04-01 DOI:10.1080/10800379.2018.12097327

K. McCullough, M. Murray, B. Strydom

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引用次数: 2

摘要

了解信息，特别是波动性如何在市场之间流动，对市场参与者来说显然很有兴趣。鉴于FTSE/JSE Top 40指数作为南非约翰内斯堡证券交易所（JSE）业绩晴雨表的重要性，本文研究了其与相应期货合约之间的波动性特征和波动性溢出效应。采用BEKK-GARCH方法对波动溢出效应进行建模，DCC-GARCH模型作为对BEKK-GRCH研究结果的验证性分析。波动性溢出从期货市场流向指数市场，表明富时/JSE 40强期货是信息化效率更高的市场。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Volatility Spillover Between the FTSE/JSE Top 40 Index and Index Futures: A Bekk-Garch and DCC-Garch Approach

Understanding how information, and specifically volatility, flows between markets is of obvious interest to market participants. Given the importance of the FTSE/JSE Top 40 index as a barometer of the performance of the Johannesburg Stock Exchange (JSE) in South Africa, this paper investigates the volatility characteristics and volatility spillover effects between it and its corresponding futures contracts. A BEKK-GARCH approach is adopted to model volatility spillover effects, and the DCC-GARCH model applied as a confirmatory analysis of the BEKK-GARCH findings. Volatility spillover flows from the futures market to the index market, indicating that the FTSE/JSE Top 40 futures is the more informationally efficient market.

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来源期刊

Journal for Studies in Economics and Econometrics Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

0.80

自引率

0.00%

发文量

期刊介绍： Published by the Bureau for Economic Research and the Graduate School of Business, University of Stellenbosch. Articles in the field of study of Economics (in the widest sense of the word).