Good and bad jump spillovers: A perspective of mutually exciting jumps

被引：0
|
作者：
Zhang C. [1 ]
Sun Y. [2 ]
Xu W. [2 ]
机构：
[1] School of Finance, Zhongnan University of Economics and Law, Wuhan
[2] International School of Economics and Management, Capital University of Economics and Business, Beijing
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2023年 / 43卷 / 04期
基金：
中国国家自然科学基金;
关键词：
aftershock effect; asymmetry; high frequency data; index futures; jump spillovers; mutually exciting jumps;
D O I：
10.12011/SETP2021-2001
中图分类号：
学科分类号：
摘要：
Using the CSI 300 index futures and spot markets as an example, this paper investigates the structure and dynamics of good (positive) and bad (negative) jump spillovers between financial markets from the perspective of mutually exciting jumps. First, we find that jump spillovers are asymmetric, and bad jump spillovers, on average, are stronger than good jump spillovers. Second, jump spillovers differ in bear and bull markets, bad jump spillovers are more evident than good jump spillovers in bear markets while good jump spillovers are more evident than bad jump spillovers in bull markets, however, these conclusions do not survive in some bull and bear markets. Third, we also document intraday aftershock effects of jump spillovers, especially for bad jump spillovers. Overall, we document bidirectional jump spillovers between the two markets and jump spillovers vary over time. For example, during the period of tightened trading rules on CSI 300 index futures, jump spillovers from the futures market to the spot market weakened, while the jump spillovers from the spot market to the futures market strengthened. © 2023 Systems Engineering Society of China. All rights reserved.
引用
收藏
页码：1068 / 1087
页数：19
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