我国股指期货对股市波动非对称性影响的实证研究

Empirical Research on Chinese Stock Index Futures’ Influence on the Volatility Asymmetric Effect of Stock Market

2010年股指期货的推出标志着我国证券市场进入了股指期货时代,股指期货与股票市场具有紧密联系,因此股指期货的推出定会对股市产生重大影响。选取2009年1月19日到2011年5月20日沪深300指数日收盘数据,运用EGARCH模型从实证的角度分析我国股指期货对股市波动非对称性的影响。结果表明:我国股票市场日收益率分布呈现出"尖峰厚尾"的特征,具有波动聚集效应和非对称性效应;我国股指期货的推出降低了股票市场的波动性,同时减弱了股票市场的波动非对称性效应。

Chinese stock index futures is introduced in 2010,it is a symbol that our securities market enters into the era of stock index futures,stock index futures has close contact with stock market,so the introduction of stock index futures must have profound influence on stock market.This paper selects the day closing price of HuShen 300 index from January 19th 2009 to May 20th 2011 and uses EGARCH model to make the empirical study on Chinese stock index futures’influence on the volatility asymmetric effect of stock market.The conclusions are as follows:Day returns have the characteristics of leptokurtic distribution and thick tail distribution,there are volatility clustering effect and asymmetric effect in Chinese stock market.The introduction of stock index futures reduces the volatility of stock spot market,at the same time the volatility asymmetric effect is weakened.