股指期货对股市波动性及非对称性的影响——基于EGARCH模型的实证研究

The Impact of Stock Index Futures on the Volatility and Asymmetry of Stock Market--Empirical research based on EGARCH model

运用EGARCH模型,选取2007年2月26日至2020年3月19日沪深300价格指数的日度收盘价格,研究股指期货的推出对股市收益率波动性和非对称性的影响。研究发现:(1)在股指期货推出后波动率会平均减小0.002845个单位,表明股指期货推出有助于减小现货市场价格的波动性;(2)股指期货的存在下,股票市场1个单位的负“扰动”冲击对市场波动率的影响比相同强度正的“扰动”冲击的影响大29.4%;(3)过去旧信息对股市冲击会更大,且这种冲击是持续的。

Using the EGARCH model,select the daily closing prices of the Shanghai and Shenzhen 300 price index from February 26,2007 to March 19,2020,to study the impact of the launch of stock index futures on the volatility and asymmetry of stock market returns.The study found that:(1)After the launch of stock index futures,the volatility will decrease by 0.002845 units on average,indicating that the launch of stock index futures helps reduce the volatility of spot market prices;(2)With the existence of stock index futures,a negative"disturbance"shock of 1 unit in the stock market has a 29.4%greater impact on market volatility than a positive"disturbance"shock of the same intensity;(3)In the past,old information would have a greater impact on the stock market,and this impact will continue.