| In recent years,the opening of China’s financial market has been continuously strengthened,and the market-oriented reform has been further deepened,which has promoted the continuous innovation and development of the financial market and the interconnection between the markets,and the linkage effect between the financial markets has become increasingly obvious.At the same time,the pace of launching Chinese concept financial derivatives in overseas markets has accelerated.On October 18 th,2021,MSCI China A50 Connectivity Index Futures(MCA)was listed and traded on the Hong Kong Stock Exchange,providing a new window for the opening up of China’s financial market,providing more channels and risk hedging tools for international investors to invest in the Chinese market,and deepening the linkage between the Chinese market and the global financial market.The market linkage can improve the pricing efficiency and enhance the market effectiveness to a certain extent,but under this linkage,the risk fluctuation of a single financial market is often easy to spread quickly to the entire financial system,and the concentrated outbreak of risk eventually leads to systemic financial risk.Studying the correlation mechanism between financial markets and accurately evaluating the volatility spillover effect between MCA and China’s mainland stock index futures is an important topic to promote the healthy development of China’s multi-level capital market,improve market effectiveness,and prevent and control the risk contagion of financial markets.This article is based on the theory of realized variance,using the theory of quadratic power variation and the jump test method to decompose the realized volatility into continuous volatility components and jump volatility components,and conduct in-depth research on the volatility spillover effects between MCA and mainland stock index futures,respectively.In order to explore the volatility spillover relationship during extended trading periods,this article uses the LM method to identify intra-day jumps and analyzes the impact of MCA jumps during extended trading periods on the probability of jumps occurring during the opening period of mainland stock index futures.Some valuable conclusions are obtained.Research has found that there is a one-way volatility spillover effect of mainland stock index futures on MCA in terms of continuous volatility components,while the impact of MCA on mainland stock index futures is not significant whether it is short-term or long-term continuous volatility.The mainland stock index futures market shows strong stability.The jumping volatility component represents short-term significant market shocks,with distinct characteristics from the continuous volatility component.There is a significant bidirectional jumping volatility spillover between MCA and mainland stock index futures in China,and the jumping of MCA during the extended trading period also has a significant positive impact on the probability of jumping in the opening of mainland stock index futures.The innovation of this article mainly lies in the focus of the research object on the latest listed MCA on the Hong Kong Stock Exchange.Currently,there is no literature on the volatility spillover relationship between MCA and stock index futures in the mainland market.Due to the special status of the Hong Kong market and the existence of interconnection mechanisms,the volatility spillover effect between MCA and mainland stock index futures may have its own characteristics.This topic has important practical significance.In terms of research methods,this article refers to multiple cutting-edge papers and constructs a more comprehensive volatility spillover research framework suitable for futures markets with asynchronous trading times.It not only breaks down and explores the volatility spillover effects of continuous volatility components and jumping volatility components,but also uses LM method to identify intraday jumps and analyze the impact of MCA jumps during extended trading periods on the probability of mainland stock index futures jumping.We found that the volatility spillover effects of the two components have different characteristics,which provides more details and references for analyzing the volatility spillover effects of the Hong Kong and mainland markets. |
