摘要
在市场经济下,股指期货具有套期保值、金融资产配置、价格发现等资本功能。由于中国现阶段股票市场、债券市场、期货市场彼此间并无直接关联,所以,股指期货的推出必将对资本市场波动率产生重要影响。综合考量企业的总资产及总股本两个因素,以沪深若干只典型超大盘股为分析对象,重新构造了股票指数收益率,重点考察了股指期货与资本市场波动性的关联关系。
In market economy, the stock index futures have the functions of hedging, financial asset allocation and price discovery of capital, etc. In present stage, the introduction of stock index futures will have major impact on the volatility of the capital market because of the indirect relationship to each other between the stock market, bond market and futures market. The thesis reconstructs the return rate of the stock index to research the relation- ship between the stock index futures and the volatility of capital market, which relies on the considerations of the firm total assets and total equity of the large - cap firms listed in the Shanghai and Shenzhen stock market.
出处
《经济问题》
CSSCI
北大核心
2011年第6期89-93,共5页
On Economic Problems
关键词
股指期货
资本市场波动性
波动率检验模型
stock index futures
the volatility of capital market
test model of volatility