中文摘要：

为了防范股票市场与股指期货市场间的风险联动,两市场间波动溢出效应的研究受到了广泛关注。文章以沪深300股指期现货市场2014年10月17日—2015年1月9日内的1分钟高频数据为研究样本,选用EEMD对数据进行分解、重构,并结合CCF因果检验从三个不同的频域研究了股指期现货市场波动溢出效应。研究发现,在任何频域下股指期现货市场间的瞬时波动溢出效应显著,不同的频域不同的持续期波动溢出效应有差异,有时有双向溢出,有时只有现货对期指的单向溢出,现货市场领先时的波动率溢出更强烈,因为现货市场价格的变化领先于期货市场,所以现阶段两市场间风险联动的防范应该更多地关注股票现货市场。

英文摘要：

In order to prevent the risk of linkage between the stock market and stock index fu- tures market, volatility spillover effect between the two market are concerned. Based on the 1 mi- nute high frequency data from CSI 300 stock index future-spot market from October 17, 2014 to January 9, 2015, this paper chooses EEMD to decompose and reconstruct the data, and combining the CCF causality test, studies the future-spot market volatility spillovers from three different fre- quency domains. The study found that, at any frequency domain there is significantly instantaneous stock volatility spillover between the future-spot markets; as the extension of lead-lag time, there are differences volatility spillover effects in different frequency domains. Sometimes there is bidirec- tional volatility spillover, and sometimes there is only one-way overflow from spot to futures. The spot market volatility spillover is more intense when it leads, because the spot market price changes ahead of the futures market, so at the present stage, we should pay more attention to the stock spot market when we are trying to prevent the risk linkage between the two markets