股指期货对我国股市周内效应的影响研究

Research on the Effect of Stock Index Futures on Day-of-the-week Effect of China's Stock Market

我国作为新兴经济体之一,股票市场起步较晚,因此其发展仍不够成熟,存在很多异常现象,其中日历效应一直是众多学者研究的焦点之一。它是指股票市场的收益率受到时间因素的影响,投资者要想取得超额收益率,只需要选择一些具体的交易日期进行操作即可,也就是说不同交易时间收益不同。作为日历效应的重要组成,周内效应也成为研究的热点,为了探索我国股市的周内效应是否受到股指期货的影响,文章以沪深300指数收益率序列作为研究对象,通过实证建立GARCH模型对股指期货推出之前和推出之后我国股市周内效应的表现形式进行研究。结果表明,沪深300股指期货的推出在一定程度上弱化了我国股市的周内效应,但要使股市达到弱势有效还需要进一步做出努力。因此,文章最后提出了几点针对性建议,希望能够对促进我国股市的平稳有效运行提供一些帮助。

As one of the emerging economies,the stock market in our country started late,so its development is still not mature enough, there are many anomalies, which day - of - the - week effect has been one of the focus of many scholars. It refers to the return on the stock market by the time factor,investors want to obtain excess rate of return,you only need to select some specific transaction date to operate,that is different from the different trading hours of income. In order to explore whether the day - of - the - week effect of China＇ s stock market is affected by stock index futures, this paper takes the yield series of Shanghai and Shenzhen 300 Index as the research object, and establishes the GARCH model on the basis of the empirical study to study the effect of the day - of - the - week effect. Stock index futures before and after the introduction of China＇ s stock market day - of - the - week effect of the form of performance research. The results show that the introduction of Shanghai and Shenzhen stock index fu- tures to a certain extent, weakening the day - of - the - week effect of China＇ s stock market, but to make the stock market is weak and effective also need to make further efforts. Therefore, the article finally puts forward some specif- ic suggestions, hoping to promote the smooth and effective operation of China ＇ s stock market to provide some help.