我国股指期货的推出对股票现货市场波动的影响研究--基于Markov-Switching-GARCH模型

The Impact of Introducing Index Futures Trading onVolatility of the Underlying Asset in China Stock Market:An Empirical Analysis with Markov-Switching-GARCH Model

为研究我国沪深300股指期货推出对股票现货市场波动性的影响,本文采用Markov-switching-GARCH模型进行了实证分析。之前的文章主要通过引入虚拟变量的方法研究股指期货推出对股票现货市场波动性的影响,由于它是采用外生变量刻画波动变化的,因此不能反映波动的结构变化,而Markov-sw itching-GARCH模型采用Markov状态转换的GARCH模型,通过内生的方式识别不同的波动状态,这克服了现有研究中的不足。研究结果表明:Markov-switching-GARCH模型能够较好地刻画收益波动的结构变化;沪深300股指期货的引入并没有加剧现货市场波动,相反减缓了现货市场的波动,提高了股票现货市场的稳定性。

This paper examines the impact of the introducing HS 300 stock index futures trading on the volatility of the underlying stock market, using Markov - switching - GARCH model. The available studies implement models augmented by dummy variables to analyze the impact that the introduction of index futures markets has on spot market returns volatility. Since the dummy variable approach relies on an exogenous determination of the shift in stock returns volatility, it cannot capture a gradual change of the volatility structure. To overcome econometric shortcomings of the existing literature we employ a Markov - switching - GARCH approach to endogenously identify distinct volatility regimes. The empirical results suggest that Markov - switching - GARCH model can reveal the change of returns volatility structure and indicate that the introduction of futures trading does not enhance the volatility of spot market; otherwise it reduces the volatility and improves the stability of stock market.