中证500股指期货对股票现货市场波动性影响研究

Research on the influence of China Securities 500 Stock Index Futures on the volatility of Stock spot Market

选取中证500股指期货引入前后中证500指数日度收益率的数据,通过比较不同滞后阶数的GARCH模型,验证股指期货引入对现货市场收益率波动性的影响,再此基础上进一步探讨股指期货引入前后非对称信息对收益率的影响变化。通过分析发现:中证500股指期货的引入能够降低股票现货市场收益率波动程度,同时得出股指期货的交易可以降低非对称信息对收益率影响——中证500股指期货引入前,利空信息对中证指数日收益率波动影响程度大于利好信息的影响;股指期货引入之后,利空和利好消息对中证500指数日度收益率波动性影响没有明显差别。

Select the data of daily return of China Stock Exchange 500 index before and after the introduction of China Securities 500 stock index futures,and verify the influence of stock index futures introduction on the volatility of spot market return by comparing the GARCH model with different lag orders.On this basis,the influence of asymmetric information on the rate of return before and after the introduction of stock index futures is further discussed.Through the analysis,it is found that the introduction of China Stock Exchange 500 stock index futures can reduce the fluctuation degree of stock spot market return,and at the same time,it is concluded that the trading of stock index futures can reduce the influence of asymmetric information on the rate of return.Before the introduction of China Stock Exchange 500 stock index futures,the influence of short information on the daily rate of return of China Stock Exchange index is greater than that of good information.After the introduction of stock index futures,there is no significant difference between the bad news and the good news on the volatility of the daily rate of return of the China Stock Exchange 500 index.