【摘要】 研究中美股指期货联动对抵御资本市场风险跨境传染、防范重大金融风险有重要意义。文章分析了不同资本市场联动的作用机制,运用DCC-GARCH模型等方法对沪深300股指期货与道琼斯股指期货的联动性进行验证。研究发现,二者间不存在长期均衡关系,但短期后者对前者有明显影响且呈增强之势,极端行情下其影响更为显著。应将道琼斯股指期货作为跨境风险观察窗口,适时适度采取措施以维稳资本市场和防止传染性重大金融风险发生。更多还原

【Abstract】 It is of great significance to study the linkage of Stock index futures between China and the United States to resist crossborder contagion of capital market risks and prevent major financial risks. This paper analyzes the linkage mechanism of different capital markets, and we use DCC-GARCH model and other methods to verify the correlation between HS300 stock index futures and Dow Jones Index futures. It is found that there is no long-term equilibrium relationship between HS300 and Dow Jones Index futures, but the short-term latter has a significant and increasing influence on the former, and the influence is more significant under the extreme market. Dow Jones Index futures should be used as a window to observe cross-border risks and appropriate measures should be taken to stabilize the capital market and prevent the occurrence of major infectious financial risks.更多还原