股指期货对股票指数波动性的影响——基于沪深300股指期货仿真交易的计量检验

Influence of the Stock Futures Market to the Stock Market Volatility——Measurement Examination Based on the HS300 Index Futures Emulation Trade

在考虑牛市、熊市的状况下,就沪深300股指期货仿真交易与现指的关系进行了Granger因果检验,然后利用加入反映沪深300股指期货仿真交易波动变量的GARCH(1,1)-M模型研究沪深300股指期货仿真交易对现指波动性影响。主要结论:在牛市中,沪深300股指是其期货交易变动的Granger原因;而在熊市中,沪深300股指期货是其现指波动的Granger原因。熊市中,沪深300股指期货仿真交易显著加剧了现指的波动性。

Under the consideration of the bear and bull market,this article carries on the Granger examination on the relationship between HS300 index and HS300 Index Futures Emulation Trade,then analyses the Influence of HS300 Index Futures Emulation Trade to the Spot Volatility by using GARCH（1,1）-M model joined with variables which reflected that HS300 Index Futures Emulation Trade fluctuation.The main conclusions are： In the bull market,HS300 index is Granger cause for HS300 index futures emulation trade;But in the bear market,is opposite;In the bear market,HS300 index futures emulation trade obviously intensified the Spot Volatility.