股指期货对A股波动性的影响

Does the stock index future decrease volatility of Stock market?

鉴于GARCH模型适合研究金融时间序列的方差随时间变化的情况,笔者采用该模型研究股指期货的推出能否减少股票市场的波动性。本文选取股指期货推出前后一年的沪深300指数的日收盘价作为原始数据,通过建立GARCH模型就股指期货对股票市场波动性的影响进行了实证研究,结果显示,股指期货的引入在一定程度上降低了我国股票现货市场的波动性,但不显著。

The paper analyzes the influence of introduction of stock index future for stock market with GARCH model,an optimal one for the analysis of the volatility of variance of financial data.The daily return of HS300 index is sampled with an estimation of the change of stock market＇s volatility by introduction of stock index future.It is concluded that the stock index future will decrease the volatility of spot market.