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dc.contributor.advisor郑振龙
dc.contributor.author颜欢
dc.date.accessioned2018-12-05T01:29:57Z
dc.date.available2018-12-05T01:29:57Z
dc.date.issued2017-11-01
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/169328
dc.description.abstract2015年,随着上证50ETF期权和上证50股指期货的相继推出,上证50指数成为我国首个具备了较为完善的现货、期货和期权三大交易市场的股票指数。本文基于5分钟高频交易数据,分样本分析研究上证50指数、上证50股指期权和上证50ETF期权之间的价格发现和波动溢出问题。在价格发现方面,本文使用向量误差修正模型,定性刻画三个市场之间的价格发现过程,并基于修正的信息份额模型定量分析期货和期权市场的价格发现能力。在波动溢出方面,本文分别使用VEC-BEKK-GARCH模型和基于BN-S模型的非参数方法完成。本文主要结论如下:(1)现货、期货和期权市场存在长期均衡关系。从总体来看,三个市场两两之间存在相互...
dc.description.abstractWith the SSE 50ETF options and the SSE 50 stock index futures launched in 2015, the SSE 50 Index has become the first stock index with a more complete trading market, which consists of stock market, future market and option market. In this paper, the price discovery function and the volatility spillover effect among these three major markets are discussed by using 5-minute high frequency transact...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=56779&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=60369
dc.subject上证50指数
dc.subject上证50股指期货
dc.subject上证50ETF期权
dc.subject价格发现
dc.subject波动溢出
dc.subjectSSE 50 Index
dc.subjectSSE 50 Stock Index Future
dc.subjectSSE 50ETF Option
dc.subjectPrice Discovery
dc.subjectVolatility Spillover
dc.title价格发现与波动溢出:基于上证50股指期货和上证50ETF期权
dc.title.alternativePrice Discovery and Volatility Spillover: Evidence from SSE 50 Stock Index Futures and 50ETF Options
dc.typethesis
dc.date.replied2017-04-24
dc.description.note学位:经济学硕士
dc.description.note院系专业:经济学院_金融工程
dc.description.note学号:15620141152038


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