摘要
本文以香港恒生股票指数及其期货为样本,研究了股指波动性与指数期货交易量之间的单向因果关系。研究表明:股指现货市场的日间价格波动并没有明显增加股指期货的交易;但股指期货交易量的显著变化会导致未来一周后股票市场波动性的增加。这从一定程度上反映了香港市场股指期货主要被投资者用于套利而不是风险对冲的工具。
Using Hongkong Hengsheng stock index and its futures as the sample, the author studies the unidirectional causality between the stock index fluctuation and the stock index futures transaction volume. The research shows the daytime price fluctuation in stock index spot transaction market does not increase the stock index futures transaction volume, but the obvious change in stock index futures transaction volume will lead to the increase in the fluctuation of stock market a week later,which refleets that the stock index futures in Hongkong market are mainly used as arbitrage instrument instead of risk - hedging instrument.
出处
《经济经纬》
CSSCI
北大核心
2008年第6期146-148,共3页
Economic Survey
关键词
股指期货
交易量
波动性
因果关系
stock index futures
transaction volume
fluctuation
causality
