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我国于2010年4月16日正式推出沪深300股票指数期货,截至目前股指期货推出也不过两年多的时间,相关的法制法规和监管措施尚不完善,加上交易自身具有的投机性及高杠杆性,这使得投资者会面临较大的风险。为了防止股指期货交易风险向股票融资市场和实体经济扩散,必须稳定股指期货市场收益,降低股指期货市场的投资风险。文章正是出于对我国股指期货市场风险进行预警的角度,选取2010年4月到2011年12月期间内五只典型股指期货合约为样本,对其进行统计特征分析,并根据研究需要,选取8个重要的宏观经济指标构建GED分布下基于GARCH-M模型的CVaR方法来度量中国股指期货市场的风险,研究表明,文章模型选取合理,并且在加入相关实体经济因素后的风险拟合效果更好。
China officially launched the Shanghai and Shenzhen 300 Index Futures on April 16, 2010. Up to now, no more than two years have passed since the launch of stock index futures. The relevant laws, regulations and regulatory measures are still not perfect. Coupled with the speculative nature of the transaction itself and High leverage, which makes investors will face greater risk. In order to prevent the risk of stock index futures from spreading to the stock financing market and the real economy, it is necessary to stabilize the return on the stock index futures market and reduce the investment risk in the stock index futures market. From the perspective of early warning on the risk of China’s stock index futures market, the article selects five typical stock index futures contracts from April 2010 to December 2011 as a sample, analyzes the statistical characteristics of the stock index futures and selects them according to the research needs Eight Key Macroeconomic Indicators The CVaR method based on GARCH-M model under the GED distribution is used to measure the risk of China’s stock index futures market. The research shows that the model selection is reasonable and the risk-fitting effect after adding the relevant real economic factors is more it is good.