股指期货推出对股票现货市场波动性的影响被引量：1

The Influence of the Stock Index future on the Fluctuation of Stock Cash Market Price

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摘要利用2007—2014年的沪深300股票指数数据,可建立GARCH模型、TARCH模型进行实证研究,分析股票指数期货上市对股票现货市场价格波动的影响。研究表明:股指期货的推出能够有效降低股票指数的价格波动;同时,股指期货的推出有利于降低股市的非对称"杠杆"效应,即利好、利空消息对股市的冲击有所降低。 This paper analyzes the influence of the listed stock index future on the fluctuation of stock cash market price by establishing the GARCH,TARCH model for empirical research with the CSI 300 stock index data of 2007-2014. The research shows that the launch of stock index futures can effectively reduce the volatility of stock index price. At the same time, the launch of stock index futures help decrease the asymmetric leverage effect of the stock market. That means the impact of good or bad news on the stock market has decreased.

作者刘任重郭雪

机构地区哈尔滨商业大学金融学院

出处《首都经济贸易大学学报》 2016年第2期27-33,共7页 Journal of Capital University of Economics and Business

基金国家社会科学基金项目"金融错配与技术进步研究"(14BJL032) 黑龙江省哲学社会科学研究规划项目"金融衍生工具风险监管研究"(13A001) 哈尔滨商业大学研究生创新项目"面向规模绩效的商业银行网点空间布局优化研究"(YJSCX2015-369HSD)

关键词沪深300指数股指期货 GARCH模型 the CSI 300 index stock index futures GARCH model

分类号 F830.91 [经济管理—金融学]

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