testinglinearandnonlineargrangercausalityincsi300futuresandspotmarketsbasedonnewconceptsofnonlinearpositivenegativespillover

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	testinglinearandnonlineargrangercausalityincsi300futuresandspotmarketsbasedonnewconceptsofnonlinearpositivenegativespillover
	Zhou Pu 1; Lu Fengbin2 ; Wang Shouyang2
	2014
发表期刊	journalofsystemsscienceandcomplexity
ISSN	1009-6124
卷号	27 期号:4 页码:729
摘要	Hiemstra and Jones (1994) argued that a significant negative value of their nonlinear Granger causality test (H-J test) means there is a confounding effect in the prediction. However, from the theoretical analysis and Monte Carlo simulations, the authors find that H-J test is significantly negative under the circumstance of negative volatility spillover. Furthermore, the authors put forward the conceptions of positive/negative nonlinear spillover, and apply H-J test to examine positive/negative nonlinear spillover effect. The empirical study on China stock futures and spot markets shows that: 1) There is significant positive nonlinear spillover from futures to spot market; 2) There is significant negative nonlinear spillover from spot to futures market. The authors argue that there is "risk absorption" mechanism in information spillover from the spot market to the futures market, which is due to the temporal transfer of speculative trading from the analysis.
语种	英语
资助项目	[National Natural Science Foundation of China]
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/48880
专题	系统科学研究所
作者单位	1.Risk Management Unit, Bank of China Head Office Beijing 2.中国科学院数学与系统科学研究院
推荐引用方式 GB/T 7714	Zhou Pu,Lu Fengbin,Wang Shouyang. testinglinearandnonlineargrangercausalityincsi300futuresandspotmarketsbasedonnewconceptsofnonlinearpositivenegativespillover[J]. journalofsystemsscienceandcomplexity,2014,27(4):729.
APA	Zhou Pu,Lu Fengbin,&Wang Shouyang.(2014).testinglinearandnonlineargrangercausalityincsi300futuresandspotmarketsbasedonnewconceptsofnonlinearpositivenegativespillover.journalofsystemsscienceandcomplexity,27(4),729.
MLA	Zhou Pu,et al."testinglinearandnonlineargrangercausalityincsi300futuresandspotmarketsbasedonnewconceptsofnonlinearpositivenegativespillover".journalofsystemsscienceandcomplexity 27.4(2014):729.