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本文使用EGARCH模型,对股指期货推出前后从2009年1月至2011年6月的标的物沪深300指数收益率的波动性进行了实证检验。研究结果发现,我国股指期货推出后,沪深300指数的波动性明显降低了,同时我国沪深300指数存在明显的不对称效应。结果说明了我国股指期货的确提高了现货市场信息流的速度与质量,股指期货的推出对我国股票市场的发展有积极的意义。
This paper uses the EGARCH model to test the volatility of the underlying CSI 300 index returns from January 2009 to June 2011 both before and after the introduction of the stock index futures. The results show that the volatility of CSI300 Index is obviously reduced after the launch of China’s stock index futures, meanwhile there is obvious asymmetric effect on the CSI300 Index in China. The result shows that the stock index futures in our country did improve the speed and quality of the stock market information flow. The introduction of stock index futures has a positive meaning to the development of the stock market in our country.