Full-Text Search:
Home|Journal Papers|About CNKI|User Service|FAQ|Contact Us|中文
《Journal of Management Sciences in China》 2008-03
Add to Favorite Get Latest Update

Analysis of information spillover effect between futures market and spot market

LIU Xiang-li~(1,2) CHENG Si-wei~2 WANG Shou-yang~2 HONG Yong-miao~3 1.Department of Fundamental,Beijing Information Technology Institute,Beijing 100101,China;2.School of Management,Graduate School of the Chinese Academy of Sciences,Beijing 100080,China;3.Department of Economics and Department of Statistical Science,Cornell University,NY 14850,U.S.A.  
This paper adopts GARCH model to estimate the conditional VaR in both downside and upside di- rection.The paper further utilizes the linear Granger causality test based on regression,Granger causality test in mean,Granger causality test in variance and Granger causality test in risk based on kernel function to study information spillover effect between the futures market and the spot market of copper,using daily data of cop- per price of two markets ranging from July 2000 to June 2006.This paper uses the kernel based statistical test to explore the correlation between the futures market and the spot market for the first time.Because all the lagged orders are used,the test statistics has a relatively strong power.Considering there are long and short in the futures market,we also introduce two new conceptions which are the upside VaR and upside risk spillover. Our findings indicate that there exists extremely significant two-way information spillover effect between the fu- tures market and the spot market of copper.Further analysis reveals that the spillover effect from the futures market to the spot market is more significant than that from the spot market to the futures market.
【Fund】: 国家自然科学基金委员会优秀创新研究群体基金(70300501)
【CateGory Index】: F724.5;F426.32;F224
Download(CAJ format) Download(PDF format)
CAJViewer7.0 supports all the CNKI file formats; AdobeReader only supports the PDF format.
Chinese Journal Full-text Database 8 Hits
1 XIONG Xiong1,XU Jin-hua1,ZHANG Jin2 (1.School of Management,Tianjin University,Tianjin 300072,China;2.Business School Tianjin University of Finance and Economics,Tianjin 300222,China);Research on Risk Monitoring System of China Stock Index Futures[J];The Theory and Practice of Finance and Economics;2009-05
2 MA Shu-zhong1,WANG Jin-jian2,FENG Han3(1.2.3 College of Economics,Zhejiang University,Hangzhou 310027,China);A Study of Risk Spillover between Futures and Spot Markets——An Empirical Analysis on China's Soybean Market[J];Journal of Guizhou Normal University(Social Science);2011-03
3 ZHOU Wei,HE Jian-min,YU De-jian(School of Economics and Administration,Southeast University,Nanjing 211189,China);An Empirical Study of SHFE-CU Risk Contagion in ITC and OTC Markets during Different Trends[J];Journal of Industrial Engineering and Engineering Management;2013-02
4 LIU Ya ZHANG Shudong XU Pingl;Research on Linkage Effects between Onshore and Offshore RMB Interest Rates: Based on Non-deliverable RMB Interest Rate Swap[J];Journal of Financial Research;2009-10
5 LIU Ya,ZHANG Shu-dong(School of Banking and Finance,University of International Business and Economics,Beijing 100029,China);Linkage Effects between Onshore and Offshore Financial Markets:Theoretical Foundation and Literature Review[J];Scientific Decision Making;2010-08
6 Zhou Wei,He JianMin,Yu DeJian(School of Economics and Administration,Southeast University,Nanjing 211189,China);Review of Contagion Effects and Jump Effects in Financial Markets[J];Journal of Nanjing University of Finance and Economics;2012-02
7 ZUO Haomiao LIU Zhentao ZENG Haiwei;Volatility Spillover and Information Transmission in China's Stock Index Futures and Spot Markets:Empirical Evidence from High Frequency Data[J];Journal of Financial Research;2012-04
8 ;The Volatility Spillover Effect between the Chinese Stock Market and the Foreign Exchange Market[J];The Journal of Quantitative & Technical Economics;2009-12
Chinese Journal Full-text Database 8 Hits
1 LIU Qing-fu1,WANG Hai-min2(1.Institue for Financial Studies, Fudan University, Shanghai 200433,China;2.South Aero-company,Guangzhou Guangdong 510320,China);Price Discovery in the Spot -Futures Markets:An Empirical Analysis in Chinese Agricultural Products[J];Research on Financial and Economic Issues;2006-04
2 Gao Hui(Dongbei University of Finance & Economics);CONINTEGRATION ANALYSIS OF COMMODITY FUTURES PRICES IN SANGHAI, CHINA AND LONDON, UK[J];Natural Science Journal of Harbin Normal University;2004-02
3 ZHU Hong quan,LU Zu di,WANG Shou yang Institute of Systems Science, Academy of Mathematics and Systems Sciences,Chinese Academy of Sciences, Beijing 100080, China;Granger causality analysis of stock markets in China[J];Journal of Manegement Sciences In China;2001-05
4 WANG Cheng wei, WU Chong feng School of Management, Shanghai Jiaotong University, Shanghai 200030, China;Linear and nonlinear Granger causality test of stock price-volume relation: Evidences from Chinese markets[J];Journal of Manegement Sciences In China;2002-04
5 XU Jian-gang,TANG Guo-xing School of Management,Fudan University,Shanghai 200433,China;Volatility,trading volume,market depth: Evidence from copper futures in Shanghai futures exchange[J];Journal of Management Sciences in China;2006-02
6 LIU Hai-long,HUANG Wei Antai College of Economics & Management,Shanghai Jiaotong University,Shanghai 200052,China;Empirical test of Shanghai Copper futures pricing[J];Journal of Management Sciences in China;2007-03
7 YONGMIAO HONG(Cornell University&Tsinghua University)SIWEI CHENG YANHUI LIU SHOUYANG WANG(Chinese Academy of Sciences);Extreme Risk Spillover between Chinese Stock Market and International Stock Markets[J];China Economic Quarterly;2004-02
8 Hua Renhai, Zhong Weijun;An Empirical Analysis on Price Discovery in Our FuturesMarkets[J];Nankai Business Review;2002-05
Chinese Journal Full-text Database 10 Hits
1 Gao Yang(School of Economics,Beijing Technology and Business University,Beijing 100048,China);An Experimental Study on the Relationship between Futures Price and Spot Price from the Perspective of Arbitrage[J];Journal of Beijing Technology and Business University(Social Science);2011-04
2 LI Jun HAN Qing-ping(School of Economic Management University of Science and Technology,Beijing 100083,China);Empirical Study of China's Steel Futures and Spot Price[J];Journal of University of Science and Technology Beijing(Social Sciences Edition);2007-04
3 WANG Taiqiang1,HOU Guangming1,LI Jie2,ZHAO Hong3(1.School of Management and Economics,Beijing Institute of Technology,Beijing 100081; 2.College of Business and Information,Chongqing 400010;3.School of Business and Trade,Chongqing University of Technology,Chongqing 400054);Research of Price Discovery Function in China Metal Futures Market——Based on Panel Co-integration[J];Journal of Beijing Institute of Technology(Social Sciences Edition);2011-05
4 LIU Peng1,QIAN Feng2,TENG Jun2(1.College of Food Science and Technology,Nanjing Agricultural University,Nanjing 210095,China;2.Golden Sun Security Limited Company,Nanchang 310000,China);Empirical Research on the Dynamic Relationship between PTA Futures and Spot Price[J];Commercial Research;2010-12
5 TANG Ya-hui,HU Xuan-long(Finance Institute,Changchun Taxation College,Changchun 130117,China);An Empirical Study on the Relationship between Corn Futures Prices and Spot Prices[J];Journal of Changchun Finance College;2010-01
6 SHAN Wei(College of Economics and Management,South China Normal University,Guangzhou 510006,China);Analysis on the Time-delay of Volatility Transmission of Stock Market in China,Hong Kong and the U.S.[J];Journal of Changchun Finance College;2010-02
7 LIU Qing-fu1,WANG Hai-min2(1.Institue for Financial Studies, Fudan University, Shanghai 200433,China;2.South Aero-company,Guangzhou Guangdong 510320,China);Price Discovery in the Spot -Futures Markets:An Empirical Analysis in Chinese Agricultural Products[J];Research on Financial and Economic Issues;2006-04
8 GAO Hui1,ZHAO Jin-wen2(1、2.Department of Statistics,Dongbei University of Finance & Economics,Dalian Liaoning 116025,China;2.Center for Applied Statistics,Renmin University of China,Beijing 100872,China);The Empirical Research of Futures Price Return and Volatilities in Shanghai of China and London of U.K[J];Research on Financial and Economic Issues;2007-02
9 ZHAO Zhenquan SU Zhi DING Zhiguo (Research Center of Quantitative Economics and School of Business,Jilin University,130012);Regime Correlation Analysis of Volatifity Between Securities Markets in China[J];Finance & Trade Economics;2005-11
10 LI Hong-xia FU Qiang YUAN Chen(College of Economy and Business Administration,Chongqing University,Chongqing 400030);Relationship and Portfolio Hedging between Spot and Futures Returns:Evidence from Chinese Gold Markets[J];Finance and Trade Research;2012-03
China Proceedings of conference Full-text Database 6 Hits
1 Jiang-haichao (The Business School of Hunan Science and Technology,Xiangtan,411201,China);The Competition Correlation between Transaction Information and Price Information of Stock Market,Investor′s Information Researching and Equilibrium——Based on Species Competing Model[A];[C];2008
2 Fang Zhijun1,Li Shuai2,Shu Lei3,Liuwang Huiyao4(School of Information Technology of Jiangxi University of Finance & Economics,Jiangxi Nanchang,330013);Study of Spillover Effect of Abnormal Volatility Between Shanghai Stock Market and Hong Kong Stock Market Based on Haar Wavelet[A];[C];2011
3 ;Study on the Price Discovery of Copper Future Market in Shanghai Future Exchange——Based on Regime Switching Time Series Model[A];[C];2008
4 Yusaku Nishimura1 and Bianxia Sun2 School of International Trade and Economics, University of International Business and Economics1 Guanghua School of Management, Peking University2;The Financial Crisis’Impacts on the Stock Market Volatility:Evidence from Volatility Spillover Effects using Realized Volatility[A];[C];2009
5 Huang Fei-xue,Li Cheng,LI Yan-xi (Faculty of Management and Economics,Dalian University of Technology,Dalian 116024,Liaoning,China);Study on price-volume relations of Hushen 300 index and its futures[A];[C];2010
6 YONGMIAO HONG (Cornell University & Tsinghua University) SIWEI CHENG YANHUI LIU SHOUYANG WANG (Chinese Academy of Sciences);Extreme Risk Spillover between Chinese Stock Market and International Stock Markets[A];[C];2004
Chinese Journal Full-text Database 10 Hits
1 TANG Li-Xin (College of Management,Wuhan University of Technology,Wuhan,Hubei 430070);Empirical Analysis on Relationship between Futures Prices and Spot Prices of Cotton in Zhengzhou Commodity Exchange[J];Journal of Anhui Agricultural Sciences;2007-35
2 Zhao Fengchao (Computer Institute, Beijing Polytechnic University, Beijing, 100022 );The Simulation of Structural Parameter Estimation for Linear Equations System[J];JOURNAL OF BEIJING POLYTECHNIC UNIVERSITY;2000-02
3 GAN Ming-xin, HAN Bo-tang(School of Management and Economics, Beijing Institute of Technology, Beijing100081, China);Modeling of Procurement and Pricing Strategy in Supply Chain Under Shortage of Accessory[J];Journal of Beijing Institute of Technology;2005-08
4 Zhu Zhenrong School of Economics, Beijing Technology and Business University, Beijing 100037);A Thought on Timely Issuance of Stock Index Futures as Financial Innovative Derivative[J];Journal of Beuing Technology and Business University(Social Science);2007-01
5 JIANG Yang(College of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China);EMPIRICAL RESEARCH OF SHFE COPPER FUTURES' PRICE DISCOVERY[J];Journal of Beijing Technology and Business University(Natural Science Edition);2006-04
6 Zhang Shumei; Li Yong; Xia Yichuan (Department of Mathematics, Beijing Normal University,100875,Beijing,PRC);THE IDENTIFICATION PROBLEM OF LINEARSIMULTANEOUS EQUATION MODELS[J];JOURNAL OF BEIJING NORMAL UNIVERSITY;1996-04
7 Jiang Xuhuai~1 Wu Fujia~2 Jin Zhuang~3;Present Risk Transmission Mechanism of Chinese Capital Market[J];Finance & Economics;2006-02
8 Wang Gang;Pricing Effect Analysis on IF Stock Index Futures[J];Finance & Economics;2007-08
9 Li Jingyang;Impact of the European Debt Crisis on China and the Reform of International Monetary System[J];Finance & Economics;2012-03
10 Sun Tao1 Zang Xiuling2;European Debt Crisis and the New Changes in the Capitalist Welfare State[J];Finance & Economics;2012-06
【Secondary References】
Chinese Journal Full-text Database 10 Hits
1 Xu Sheng Han Jianfei Zeng Lihui;The Linkage and Volatility Spillover Effect between CNY Forward Market and NDF Market——Based on the Trading Varieties and Multi-dimensional Evolution of Policies[J];Studies of International Finance;2013-08
2 Shi Yaming;He Jianmin;School of Economics and Management,Southeast University;;Volatility Spillover Effect Study in Agricultural Futures Markets of China and USA Based on Time-varying Perspective[J];Journal of Beijing University of Aeronautics and Astronautics(Social Sciences Edition);2013-05
3 ZHANG Lu-yang;The Economics and Management School of the Henan Radio and Television University;;A research on the theory and countermeasure for stock index futures hedging of ETF arbitrage——based on the Everbright Securities' “8·16 fat finger” event[J];Journal of Beijing Institute of Economics and Management;2013-04
4 Zheng Guozhong;Zheng Zhenlong;;An Analysis of Alienation of Dynamic Correlation and Risk Contagion among Financial Markets in China[J];Southeast Academic Research;2014-02
5 Yu Xiaojian1 Jian Yingxi2(1.Research Center of Financial Engineering,South China University of Technology,Guangzhou 510006,China; 2.School of Economics and Commerce,South China University of Technology,Guangzhou,China 510006);Linkage effects of onshore and offshore RMB overnight interest rate swap market[J];Shanghai Journal of Economics;2011-10
6 KOU Ming-ting1,2,LU Xin-sheng1,CHEN Kai-hua3(1.College of Economics and Management,Northwest A&F University,Yangling 712100,China;2.College of Business Shanxi,Datong University,Datong 037009,China;3.The Institute of Scientific Policy and Management Science,Chinese Academy of Sciences,Beijing 100190,China);A Study of the Interaction between Agricultural Future Market and Stock Market——An Empirical Analysis Based on a Multi VAR-GARCH(1,1)-BEKK Model[J];Economic Survey;2011-03
7 FENG Sixian ZHANG Bing LI Xindan WANG Huijian;Offshore Stock Index Futures' Influence on Mainland Stock Market[J];Journal of Financial Research;2010-04
8 FENG Chang-sheng(School of Business Administration,Henan University,Kaifeng 457004,China);Effect of Chinese Stock Market to the Fluctuations of RMB Exchange Rate:Based on Empirical Econometric Model[J];On Economic Problems;2012-08
9 WANG Dong-hua1,WANG Chen2 1.School of Business,East China University of Science and Technology,Shanghai 200237,China; 2.Viterbi School of Engineering,University of Southern California,Los Angeles,CA 90089,USA;Dissimilation of spillovers effects between the foreign exchange market and the stock market in different market states after the 2005 exchange rate reform[J];Journal of Management Sciences in China;2012-11
10 Dong Gang;Research on Shanghai's Countermeasures to Improve International Sailing Ship Bonded Oil Market[J];Scientific Development;2012-10
China Proceedings of conference Full-text Database 1 Hits
1 ;Constructing and Integrating of the High-Tech SME Financing System in Tianjin——Based on Elements Restructuring of Three-Dimensional Model[A];[C];2011
【Secondary Citations】
Chinese Journal Full-text Database 8 Hits
1 Yan Jinan Zhang Wei;Empirical Study on Distribution of Return in Shanghai Securities Exchange[J];Systems Engineering;1998-01
2 WU Ru hai, SONG Feng ming School of Economics & Management, Tsinghua University, Beijing 100084;Empirical analysis on volume model under K+1 fund separation[J];JOURNAL OF MANEGEMENT SCIENCES IN CHINA;2000-01
3 WANG Jun bo,DENG Shu hui Institute of Systems Science, Academia Sinica, Beijing 100080, MADIS;Some analysis about Chinese's IPO market[J];JOURNAL OF MANEGEMENT SCIENCES IN CHINA;2000-01
4 SONG Xue feng, GU Shi qing School of Business Administration, China University of Mining and Technology, Xuzhou, Jiangsu 221008;The chaos degree of both Shenzhen and Shanghai stock markets and its controlling methods[J];JOURNAL OF MANEGEMENT SCIENCES IN CHINA;2000-01
5 CHEN Yi-ling, SONG Feng-ming Tsinghua University, Beijing 100084, China;An empirical study on the relationship between price changes and trading volume in China stock market[J];JOURNAL OF MANEGEMENT SCIENCES IN CHINA;2000-02
6 Hua Renhai, Zhong Weijun;An Empirical Analysis on Price Discovery in Our FuturesMarkets[J];Nankai Business Review;2002-05
7 XUE Ji-Rui and GU Lan (Department of Statistics,Renming University,Beijing,100872);Calendat Effect Analysis in Chinese stock market[J];APPLICATION OF STATISTICS AND MANAGEMENT;2000-02
8 Zhang Wei Yan Jinan(School of Management, Tianjin University, 300072);Empirical Detection to the Volume Price Causality in Shanghai Securities Exchange[J];SYSTEMS ENGINEERING-THEORY & PRACTICE;1998-06
©2006 Tsinghua Tongfang Knowledge Network Technology Co., Ltd.(Beijing)(TTKN) All rights reserved