摘要
股指期货对于现货市场波动的影响,在不同的市场上有着完全不同的表现。立足中国市场,借助GARCH类模型、向量自回归模型及脉冲响应函数等方法,以沪深300指数期货和沪深300指数的五分钟收盘数据为研究对象,定量地刻画了股指期货推出对于现货市场波动的影响。实证结果表明,股指期货的推出确实降低了现货市场的波动,加快了市场对于信息的反应速度,一定程度上提高了市场的有效性。
The effects of stock index future on stock volatility are totally different in different markets. Basing on the Chinese market,this affection will be quantitatively depicted through using GARCH model,VAR model and the data of the Shanghai and Shenzhen 300 index futures in five minutes before closing. The empirical results show that stock futures indeed reduce the volatility of stock market,accelerate the market’s speed of response to information,and improve the effectiveness of market.
出处
《中南财经政法大学研究生学报》
2011年第6期61-67,共7页
Journal of the Postgraduate of Zhongnan University of Economics and Law
基金
2010年中南财经政法大学研究生创新教育计划:中国股指期货推出对股市波动的影响分析(项目编号:2010S1905)。本文系最终研究成果
