Jump Transmission Between Spot And Futures Markets

In general,the publication of routine trading information causes a smooth change in the return on assets,and the emergence of anomalous or significant information will lead to a discontinuous jump.Although jumping behavior occurs infrequently,once it happens,the fluctuation is large,so the impact on stocks,derivatives and other markets cannot be underestimated.If the jumping behavior has the transmission phenomenon,participants in the two markets can make related operations to avoid risks based on the changes in market price jump behavior and delivery effects.the research on the transmission of jump behaviors in futures and spot markets is also provide a reference for the relevant regulatory authorities to make policy control and supervision.Therefore,it is significant to study the jumping transmission between the spot and the futures market in our country to participants and managers.Based on the ARJI jump model of Maheu and McCurdy,this paper takes the daily returns of CSI 300 Index and its futures contracts from April 16,2010 to June 15,2015 as the research object.Expanding ARJI-jump model to include both futures and spot variables into two variables system at the same time,improved to ARJI-Co-Jump model.The ARJI-Co-Jump model is used to separate the general volatility and jump volatility of the stock index and its futures contracts,and to analyze the characteristics of the jumping behavior of futures and spot.Further,based on the model estimation,whether the jump of the futures(spot)has an impact on the spot(futures),that is,whether the jump transmission exists or not? The empirical results show that the lagging jump strength of futures has a significant positive effect on the current spot jump strength,but the effect of spot lag jump strength on the current jumping strength of the futures is not significant.The empirical results mean that the jump in the futures market spilled into the spot market,and the jump in the spot market did not spill over into the futures market.The way to jump transmission is through the amplification of jump strength.The empirical results also show that both the futures and the spot have jump behaviors within the sample range;the jump strengths of the previous periods have obvious and continuous impact on the current jump strength.The innovation of this paper is to expand a basic ARJI jump model and establish a bivariate ARJI-Co-Jump model for empirical testing of jump transmission between the spot and futures markets.The establishment of jumping model and empirical findings have a certain marginal contribution to the existing research.