四川大学硕士学位论文
续时间更长；
（2）疫情发生之后（2020.02-2021.02）：期货市场主要发挥了价格发现
功能，在价格溢出方面期货市场占主要地位，但指数对期货的价格溢出影响持
续时间更长；期货在波动溢出的强弱程度上相比疫情以前有所降低，指数在波
动溢出的强弱程度上相比疫情以前有所增加。
根据实证结果本文在第四章提出四点建议。持续对投资者进行指导教育以
应对重大突发事件产生带来的负面冲击效果；提前设计机制应对市场中出现的
非理性交易行为；丰富我国的金融期货品类给与市场参与者更多的避险工具选
择；监管当局应建立联合防控措施运用技术手段监测市场内部的趋势变化。
关键词：BEKK-GARCH模型、波动溢出、沪深300指数、沪深300期货
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四川大学硕士学位论文
A study on spillover effect between CSI 300 stock
index futures and indices based on the epidemic
situation
Major:Master of Finance
Postgraduate:Deng wang
Supervisor:Jiao fang
Abstract: At the end of 2019 China's wuhan have infection in patients with
unexplained pneumonia (COVID - 19), in the next few months have been the
outbreak of the new champions in various areas of the world, causing a global
concern about new crown outbreak, contributed to the financial market volatility in
the short term, hindered the effective of international trade, and the influence of the
long-term economic activities orderly. In response, governments introduced a
number of measures to deal with the impact of this public health emergency on
financial markets and promote economic recovery. Major indexes on the A-share
market tumbled after the market opened after the Lunar New Year holiday. In this
paper, the outbreak of the epidemic as the background, on the basis of referring to
the relevant literature, using empirical methods to study the correlation between the
CSI 300 index and the corresponding futures market before and after the outbreak
of the epidemic, and compare the differences and similarities between the two
stages.
Before the study, this paper firstly reviewed the financial market response to
the COVID-19 event and collected relevant literature, which mainly included the
inter-market volatility spillover relationship, the function of price discovery, the
impact of emergencies on the economy, and the impact of COVID-19 event on the
economy and society. On the basis of learning the research methods in the literature
and comparing the research conclusions, this paper determines the way to carry out
research on the problem, that is, to analyze the problem to be discussed in this paper
with the help of the econometric model on the basis of theoretical analysis. Then, by
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四川大学硕士学位论文
collecting 5-minute high-frequency circulation trading data of the two markets from
February 13, 2019 to February 13, 2020, this paper used the corresponding model to
regression the logarithmic return rate of the price data, and compared the empirical
results to study the mean spillover and price volatility spillover between the two
markets before and after the epidemic.
Through logarithm yield of high frequency trading data after the VAR model
and BEKK GARCH model is set up respectively, in the two periods, before and
after the outbreak of the index between the market and futures market mean and
volatility spillovers significant overflow phenomenon, has overflow relationship to
each other, the two market index market and futures market linkage effect is
obvious.
(1) Before the outbreak of the epidemic (2019.02-2020.02) : the index market
mainly played the function of price discovery, and the index market played a
dominant role in the aspect of price spillover, but the influence of futures on the
index price spillover lasted longer;
(2) After the outbreak of the epidemic (2020.02-2021.02) : futures market
mainly played the function of price discovery, and futures market played a
dominant role in price spillover, but the impact of index on futures price spillover
lasted longer; Futures showed a decrease in the degree of volatility spillover
compared with that before the epidemic, while indexes showed an increase in the
degree of volatility spillover compared with that before the epidemic.
Based on the empirical results, this paper puts forward four suggestions in the
fourth chapter. Continue to guide and educate investors to deal with the negative
impact of major emergencies; Designing mechanisms in advance to deal with
irrational trading behaviors in the market; Enrich China's financial futures category
to give market participants more choice of hedging tools; Regulators should
establish joint prevention and control measures and use technical means to monitor
trends within the market.
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