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阀且柯
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1 300 (ADF) (VEM) A CFFEX

2 300 Kawaller Koch(1987) S&P 500 S&P ~45 1

3 Stoll Whaley(1990) ARMA 2 3 S&P 500 MMI S&P 500 MMI 5 Abhyankar(1995) FTSE 100 FTSE Arshanapalli Doukas(1997) S&P 500 S&P 500 Gwilym Buckle(2001) FTSE 100 Zhong Darrat (2004) EGARCH Nam Oh (2006) KOSPI 200 KOSPI 200 KOSPI 200 Manaster Rendleman(1982) Bhattacharya(1987) Anthony(1988) (2002) (2006)

4 (2006) Garbade-Silber (2006) (2005) (2005) (2005) ADF Johansen- Juselius Eviews 5.0 SPSS 11.0

5 IF0611 IF0612 IF0701 IF0702 IF0703 IF0706 IF0611 IF0612 IF

6 Descriptive Statistics FUTURE S SPOT N Minimum Maximum Mean Std. Deviation FUTURES SPOT

7 FUTURES Pearson Correlation FUTURES SPOT ** SPOT Pearson Correlation ** 1 **. 1%. LnFt LnSt 1. DF ADF DF t ADF 300

8 LnF t LnS t C T K ADF 1% 5% 10% LnF t C LnS t C LnF t C LnS t C : 1 c t k ; 2 k AIC SC I

9 Co-integration 300 LnF t LnS Johansen Juselius 1990 JJ JJ VAR VAR P 1 y = Ay + + A y + ε t 1 2 T t 1 t 1 p t p t y t k y 1t y 2t y kt I d ε t k 1 t 2 p 1 y =Π y + Γ y + ε t t 1 i t i t i= 1 p Ai I i= 1 Π= p Γ i = j=+ i 1 A j 3 y t t i (i=1 2 p) Πy t 1 I 0 y t Πy t 1 Π rank( Π ) = r 0 r k y

10 Π : Π= αβ α β K r r y t Johansen Trace Test y t r r = 0 r = 0 r 1 r 2 r r * yt r * 1 y t 300 JJ JJ H 0 H 1 5% r 0 * * r r 1 r LnFt LnSt ε t

11 ECM LnF = Ecm LnF LnS + ε t t 1 t-1 t LnS = Ecm LnF LnS + ε t t 1 t-1 t LnS t t t Ecm t % 6

12 0.9213% VAR Response to Cholesky One S.D. Innovations.05 Response of FUTURES to FUTURES.05 Response of FUTURES to SPOT

13 300 2~4 4 Sims 1980 Mean Square Error VAR 1 VAR p VMA 6 y = ψ I + ψ L+ ψ L +L ε t 2 ( ) t i yit k y = ( ψ ε + ψ ε + ψ ε + ψ ε +LL ) it 0, ij jt 1, ij jt 1 2, ij jt 2 3, ij jt 3 j= 1 7 { ε jt }

14 , ij jt + 1, ij jt 1 + 2, ij jt 2 + = q, ij jj q= 0 E[( ψ ε ψ ε ψ ε L ) ] ( ψ ) σ j = 1,2,...,k y var( y ) k it it k 2 2 var( yit ) = { ( ψ q, ij ) σ jj} j= 1 q= ij ij ( ψq, ij ) σ jj ( ψq, ij ) σ jj q= 0 q= 0 k var( yit ) 2 2 ψ qij, σ jj j= 1 q= 0 RVC ( ) = = { ( ) } RVC Relative Variance Contribution RVC ij j i (%) (%) (%) (%)

15 % % % % % % 8.590%

16 : [1] Abhyankar A. H.. Return and volatility dynamics in the FTSE 100 stock index and stock index futures markets. The Journal of Futures Markets, 1995(15): [2] Anthony J. H.. The interrelation of stock and options market trading

17 volume data. The Journal of Finance, 1988(43): [3] Bhattacharya M.. Price changes of related securities: The case of call options and stocks. Journal of Financial and Quantitative Analysis, 1987(22):1 15. [4] Gwilym O., Buckle M.. The lead lag relationship between the FTSE 100 stock index and its derivative contracts. Applied Financial Economics, 2001(11): [5] Johansen, Soren. Estimation and hypothesis testing of co integration vectors in Gaussian vector autoregressive models. Econometrica, 1991(59): [6] Kawaller I., Koch P., Koch T.. The temporal price relationship between S&P 500 futures and S&P 500 index. The Journal of Finance, 1987(42): [7] Manaster S., Rendleman J. R.. Option prices as predictors of equilibrium stock prices. The Journal of Finance, 1982(37): [8] Nam S. O., Oh S. Y., Kim H. K.. An empirical analysis of the price discovery and the pricing bias in the KOSPI 200 stock index derivatives markets. International Review of Financial Analysis, 2006(15): [9] Stoll H. R., Whaley R. E.. The dynamics of stock index and stock index futures returns. Journal of Financial and Quantitative Analysis, 1990(45): [10] Zhong M., Darrat A. F., Otero R.. Price discovery and volatility

18 spillovers in index futures market: Some evidence from Mexico. Journal of Banking & Finance, 2004(28): [11] [12] (8) [13] (5) [14] (8) [15] (4) [16] (6) [17] (1)

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untitled A 2004 14 Abstract With the background of China being troubled with overseas listing of Chinese index future, this paper analyses the reactions of local stock markets towards overseas listing of their