ETH期货的价格发现功能及波动率溢出研究

  以太坊作为近年来发展迅速的区块链和智能合约应用，与我国央行推进的法定数字货币有一定相关性。以太坊底层架构的智能合约和区块链技术也对我国数字货币的发行具有极强的借鉴价值。

  本研究深入分析了国内外关于以太坊的相关学术文献。在现有研究成果基础上，分析了ETH期现货市场之间的价格发现能力及波动溢出效应。本文搜集了2023年全年的以太币期货和现货的五分钟高频交易数据。利用Granger因果检验和向量误差修正模型来分析市场的价格发现机制，并使用信息份额模型（I-S）来量化不同市场在价格发现过程中的作用。分析结果揭示了现货市场在价格发现过程中扮演的主导角色。应用DCC-GARCH和BEKK-GARCH模型，对两个市场之间的波动溢出效应进行分析。研究发现，两个市场间明显存在双向的波动溢出效应，现货市场在调节波动性方面表现出更明显的长期效应。可能是现阶段投资者对ETH期货市场的关注度不高，或因投资者认为加密货币还存在较大的政治不确定性而不愿意参与到加密货币市场，限制了市场的信息容量等原因，导致期货市场缺乏价格发现指导作用。

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