Volatility Spillover and Information Transmission in China's Stock Index Futures and Spot Markets:Empirical Evidence from High Frequency Data
利用中国沪深300指数和股指期货的高频数据，发现现货与期货市场波动存在双向因果关系，但期货市场的跳跃不传导至现货；两者价格存在长期均衡，期货有助于价格发现。
Using high frequency CSI 300 stock index and stock index futures data in China,we estimate daily realized variance,realized bipower variation and jump variation based on nonparametric method.It is found that there exists bidirectional Granger causality between the volatilities,but past jumps in futures market do not have impact on jumps of spot market.Moreover,realized correlation coefficient exhibits large variation during the initial period and shows a stronger linkage trend in general.Lastiy,we find that there exists a long-run equilibrium between high frequency index and index futures prices,and the evidence of bidirectional information spillover, which shows that the stock index futures contribute to the price discovery process.