中文摘要：

本文基于日内和日度数据使用双变量CAViaR模型估计了沪深300股指期货和标的指数的风险价值，并基于沪深300股指期货市场日内交易行为角度分析了股指期货和现货市场间日内与日间风险传导作用的差异。结果发现，期货市场日内风险的自相关特征显著高于现货市场，而两个市场的日间自相关性相差甚小，期货市场向现货市场的单向风险溢出效应仅体现在日内信息的传递过程中。与现货市场相比，期货交易的杠杆性以及当日回转交易便利了日内投机、套利交易，因而期货市场日内信息传递效率更高。

英文摘要：

We employ CAViaR model to estimate the value at risk of CSI300 stock index futures and spot index value, and study risk conduction mechanism between Chinese stock index futures market and stock market in view of daily trading behavior, based on the intraday and inter-day data. The results show that the risk of futures market＇ s intraday autocorrelation characteristic is significantly higher than that of the spot market, but there is no significant different between inter-day autocorrelation, and the risk of futures spillover to the spot market only take place in the intraday process of information transmission. Compare to the cash market, the leveraged and ro- tary futures trading facilitate intraday speculation and arbitrage, so the efficiency of information transmission is higher in the futures market than that in the cash market.