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《Securities Market Herald》 2013-10
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Information Spillover Effect between Stock Index Future Market and Spot Market in China: On the Basis of One Minute High Frequency Data of Refinancing Securities

Luo Ronghua;Men Ming;  
Refinancing securities is a significant financial system innovation in China's securities market. Using the one minute high frequency data of HS300 index futures and HS300 index from 19 Feb to 15 Mar in 2013, we examine the information spillover effects between stock index futures market and spot market by constructing model on the basis of the student-t distribution. The results show that: First, there are two-way mean spillover effects between the two markets before the launching of refinancing securities, and there only exists one-way and short-term volatility spillover effect from spot market to stock index futures market. Second, there merely exists one-way mean spillover effect from stock index futures market to spot market after the launching of refinancing securities, and there only exists one-way and short-term volatility spillover effect from stock index futures market to spot market. Third, there exists long-term volatility spillover effect between the two markets neither before nor after the launching of refinancing securities
【Fund】: 对外经济贸易大学研究生科研创新基金(A2012046);; 国家社会科学基金项目(课题批准号:08BJY155)资助
【CateGory Index】: F224;F832.5
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