| 台湾利率期货和现货价格收益率与溢出效应研究 |
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| 引用本文： | 邓晓兰,马保明. 台湾利率期货和现货价格收益率与溢出效应研究[J]. 台湾研究集刊, 2009, 0(1): 63-69 |
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| 作者姓名： | 邓晓兰 马保明 |
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| 作者单位： | 西安交通大学,经济与金融学院,陕西,西安,710061 |
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| 摘 要： | 期货市场和现货市场的波动溢出效应是研究利率市场发展的信息流动、风险传递的重要内容。本文主要采用GARCH—M模型对中国台湾期货市场和现货市场的价格收益率和波动性进行研究，发现两个市场波动性之间存在非对称性，期货市场对现货市场存在单向显著溢出效应和重要影响。
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| 关 键 词： | 波动性 溢出效应 GARCH—M模型 |
The Study of Price Return and Spillover Effects between Interest Rate Futures Market and Spot Market in Taiwan of China |
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| DENG Xiao-lan,MA Bao-ming. The Study of Price Return and Spillover Effects between Interest Rate Futures Market and Spot Market in Taiwan of China[J]. Taiwan Research Quarterly, 2009, 0(1): 63-69 |
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| Authors: | DENG Xiao-lan MA Bao-ming |
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| Affiliation: | DENG Xiao-lan, MA Bao-ming |
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| Abstract: | The reseach on the volatility spilllover effects between futures market and spot market is important to realize the information flow and risk transfer of development of interest market. In the paper, we made research for futures price return and volatilities between Futures Market and Spot Market in Taiwan of China through GRACH - M model. It show that there are asymmetry volatility relation and important influence between two markets and significant single - direction spillover effect of futures market to spot market. |
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| Keywords: | volatility spillover effect GARCH-M model |
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