Abstract: Facing financial market risk coming from negative and positive changes in prices, the psychology and behavior of investors might substantially differ. In this regard, we hypothesize that risk transmission mechanism between Chinese stock market and its index futures market might also substantially differ. Considering that, this paper decomposes Chinese stock market volatility and its index futures market volatility into downside semivariance and upside semivariance respectively, which can serve as a measure of downside risk and upside risk, using realized semivariance with 5-minute high frequency data from January 4, 2016 to April 30, 2019. Then this paper utilizes Granger non-causality test in mean and quantiles to distinguish risk spillovers between Chinese stock and futures market due to negative returns and positive returns, in order to reveal asymmetries in risk spillovers that emerge due to downside risk and upside risk. The analysis is conducted in a comparative way by using both Granger non-causality test in mean and quantiles. The results show that there exist both significant downside risk spillovers and significant upside risk spillovers between Chinese stock and futures market, and it provides ample evidence showing the asymmetry at quantile level, which is in contrast with the symmetry at mean level. On one hand, the downside risk spillovers from the futures market to the stock market are significant at all quantile intervals, while the upside risk spillovers from the futures market to the stock market are only significant at middle quantile intervals and extremely high quantile intervals. On other hand, the downside risk spillovers from the stock market to the futures market are significant at extreme quantile intervals, while the upside risk spillovers from the stock market to the futures market are significant at low quantile intervals and middle quantile intervals.

Key words: stock index futures, semivariance, Granger causality, quantile regression, asymmetry

摘要： 为了揭示中国股指期现货市场之间风险溢出效应的非对称特征,本文利用已实现半方差将中国股指期现货市场的风险区分为下跌风险和上涨风险,并运用均值Granger因果检验和分位数Granger因果检验,考察两市场之间下跌风险溢出效应和上涨风险溢出效应的差异。研究发现,中国股指期现货市场之间不仅存在显著的下跌风险溢出,还存在显著的上涨风险溢出,而且溢出效应随着分位数区间不同而呈现出显著的非对称特征。一方面,期货市场对现货市场的下跌风险溢出在全部分位数区间均显著,而上涨风险溢出仅在分布的中间位置和上尾显著。另一方面,现货市场对期货市场的下跌风险溢出主要集中在尾部极端分位数区间,而上涨风险溢出主要集中在分布的中间位置和低分位数区间。

关键词: 股指期货, 半方差, Granger因果关系, 分位数回归, 非对称性