上证50股指期货对现货市场波动性的影响研究

Research on the Impact of SSE 50 Stock Index Futures on the Volatility of the Spot Markets

金融期货市场作为多层次资本市场的重要组成部分,对维护我国金融市场稳定意义重大。目前,我国的股指期货品种有四种,其中上证50指数成分股平均市值及市值中位数较其他指数更大,是大盘股的代表,对金融市场的影响较大。因此,为研究上证50股指期货推出对我国现货市场的影响,本文通过统计方法中的ARCH效应模型检验、GARCH效应模型等进行定量分析。

The financial futures market,as an important part of the multi-level capital market,is of great significance in maintaining the stability of China’s financial market.At present,there are four types of stock index futures in China,of which the average market value and median market value of the constituents of the SSE 50 index are larger than the other indexes.The SSE 50 index is the representative of large-cap stocks and has a greater impact on the financial market.Therefore,to study the impact of the launch of SSE 50 stock index futures on China’s spot markets,this paper carries out a quantitative analysis through the ARCH effect model test and the GARCH effect model in statistical methods.