我国股指期货对现货市场波动性影响研究——基于GARCH族模型

Research on the impact of my country's stock index futures on the volatility of the spot market-Based on the GARCH family model

在我国金融衍生工具中,股指期货具有规避投资风险、套期保值、丰富风险对冲工具等作用。文章利用沪深300股指期货数据,基于GARCH族模型研究发现:首先,推出股指期货有效提高了股市信息传递效率;其次,股指期货的“利好”与“利空”信息对股票市场存在异质性影响,且该影响减弱了“利空”信息给股市带来的波动,“利好”信息带来的波动性更大。

Among China's financial derivatives,stock index futures have the functions of evading investment risks,hedging,and enriching risk hedging tools.Based on the GARCH family model,the article used the Shanghai and Shenzhen 300 stock index futures data and found that:firstly,the introduction of stock index futures effectively improved the efficiency of stock market information transmission;secondly,the“good”and“bad”information of stock index futures had a heterogeneous impact on the stock market.The influence weakened the volatility brought by"bad"information to the stock market,and the volatility caused by“good”information was even greater.