Abstract: This paper is based on the 5-minute high-frequency data of the Shanghai Stock Exchange Series Industry Index, using the generalized forecast error variance decomposition, the volatility spillover index and spillover asymmetry measure (SAM) to study the time-varying property and asymmetry of inter-industry volatility spillover in Chinese stock market. The empirical results show that there are significant asymmetry and time-varying characteristics of inter-industry volatility spillovers and bad volatility spillover dominates in most periods. What’s more, static analysis shows that there is significant volatility spillover effect among different sectors of theChinese stock market, and the consumer discretionary is the most important source of market volatility; dynamic analysis shows that raw materials, industrials and consumer discretionary are the net exporters of market volatility spillover, and the financial and real estate business is the net importer of market volatility spillover; telecommunication services, utilities and health care et al. are more effective in delivering bad news, while consumer discretionary is more powerful in good news. The dynamic comparison of the spillover contribution of various industries before and after the S & P 500 index shows that the research conclusions are robust.

Key words: good volatility, bad volatility, industry index, volatility spillover, asymmetry

摘要： 选取上证系列行业指数的五分钟数据, 基于广义预测误差方差分解方法构建了波动溢出指数和波动溢出非对称指数(SAM), 研究了10个行业间波动溢出的时变性和非对称性。结果表明, 股票市场各行业间波动溢出存在显著的非对称性和时变性, 多数时期“坏的波动”下的溢出效应占据主导地位。静态分析显示, 股票市场各行业间具有高的波动溢出效应, 可选消费行业是市场波动的最重要来源;动态分析显示, 原材料、工业、可选消费业是波动溢出的净输出者, 金融地产业是净输入者, 电信业务、公用事业和医药卫生等行业对利空消息的传递更为明显, 可选消费行业对利好消息的传递更为有效。纳入标普500指数前后各行业溢出贡献度的对比表明研究结论具有稳健性。

关键词: “好的波动”, “坏的波动”, 行业指数, 波动溢出, 非对称性