香港股指期货推出对股票市场波动性影响研究

The study on the effects of introducing of stock index futures on the volatility of spot market in Hong Kong

股指期货的推出对股票市场的影响是金融市场建设中的重要问题。运用类似事件方法和经济计量方法研究了恒生指数期货和H股指数期货的推出对标的指数成份股的波动性产生的影响。结果表明,股指期货推出对股票市场波动性的影响存在不确定性。

The influence of the introduction of index futures on stock market is an important issue for the building of financial market.Similar event study method and econometric method are used to study the effects of the introductions of Hang Seng Index futures and H-Share Index futures on the volatility of its component stocks of the underlying index.The research shows that the effect of the introduction of index futures on the volatility of stock market is uncertain.