Abstract：For exploring jump spillovers between domestic and overseas non-synchronous futures markets, the conditional jump spillover probabilities, jump spillover intensity, frequency degree of jump spillover and average size of jump spillover between domestic and overseas non-synchronous futures markets were investigated empirically through Bayesian Markov Chain Monte Carlo (MCMC) method. The results show that there are significant conditional jump spillover probabilities and jump spillover intensity. In general, the jump in oversea futures markets more probably arrive at domestic futures markets in next-day, while the jumps in domestic futures markets more probably arrive at oversea futures market in same-day. Moreover, the frequency degree of jump spillover in domestic futures market arriving at oversea futures market in next-day is higher than that of other different jump spillover cases. These phenomena may attribute to non-synchronous characteristic of regular trading time between domestic and oversea futures markets. Furthermore, the measurement of average size of jump spillover supports that the jump spillovers mainly owe to unusually risk events.
刘庆富;许友传. 国内外非同步期货交易市场之间的跳跃溢出行为: 基于风险事件的视角[J]. 系统工程理论与实践, 2011, 31(4): 679-690.
LIU Qing-fu;XU You-chuan. Jump spillovers between domestic and overseas non-synchronous futures markets: Based on the perspective of risk events. Systems Engineering - Theory & Practice, 2011, 31(4): 679-690.
2011, Vol. 31 
