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沪深300股指期货交易对我国现货市场波动性的影响 被引量:4

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摘要 选用2009年3月11日至2011年5月31日沪深300指数的542个交易日数据,运用OHLC方法度量现货市场指数的日内波动率,运用TARCH模型检验现货市场指数的日间波动率。结果发现:股指期货的推出对我国现货指数走势有明显的影响,股指期货的推出有效降低了沪深300指数的日内波动率,波动率的平均值由0.1031降为0.0945。股指期货推出后对沪深300指数的日间波动率没有显著的影响,但是指数收益率的波动范围变小了,极差下降了20.83%。
出处 《福州大学学报(哲学社会科学版)》 CSSCI 北大核心 2012年第4期31-35,共5页 Journal of Fuzhou University(Philosophy and Social Sciences)
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