中国股指期货与股票市场波动性关系的实证分析

Empirical Analysis on the Relationship Between Chinese Share Price Index Futures and Volatility of Stock Market

使用修正的EGARCH模型与VaR方法检验股指期货的推出对中国股票市场波动性所产生的影响。采用的数据为沪深300指数,样本数据分为股指期货推出前,股指期货推出后的短期、中期和长期与样本数据全体五个时间段。研究表明,从股指期货推出的短期与中期来看,市场对信息的反应比较混乱。从长期来看,股指期货的推出加速了信息的传递速度并且弱化了非对称效应,并没有加大股市的波动性。VaR方法检验表明,股指期货的推出有效降低了股市风险,使A股市场更加成熟和完善。

The investors are concerning about the relationship between the share price index futures and development of the stock market.This article uses the modified EGARCH model and VaR method to test the impact of launching of the share price index futures on Chinese stock market＇s volatility.The data here quoted is CSI 300 Index.The sample data is divided into five parts,including 1.period before launching of the share price index futures;2.short-term,medium-term and long-term periods after launching of the share price index futures;3.and total sample data.The modified EGARCH model shows that the market＇s reaction to information is a bit confusing based on data of short-term and medium-term after launching of the share price index futures.In long term,the launching of the share price index futures accelerates information transmission and weakens the asymmetric effect,while not increases the volatility of the stock market.VaR method shows that the launching of the share price index futures reduces stock market risk effectively.Therefore,we believe that the launching of the share price index futures makes the A-share market to become a more mature and perfect market.