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沪深300股指期货对我国股票市场波动性及交易行为的影响 被引量:2

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摘要 文章构造股指期货与股票现货lead-lag网络,分析股指期货对我国股票市场波动性及投资者交易行为的影响。结果显示:股指期货对于股票现货有显著的价格发现功能,但在不同的阶段差别并不明显;股指期货对于股票交易行为有显著影响,股指期货的变动会显著影响金融股的交易行为;异常波动日,股指期货对股票交易行为的影响发生显著变化,股指期货不再影响金融股的交易行为,反而很大程度上受金融股影响。
出处 《统计与决策》 CSSCI 北大核心 2018年第6期154-158,共5页 Statistics & Decision
基金 国家自然科学基金资助项目(71271109 71671083 71720107001)
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