【摘 要】
：
本文分别选取了S&P500、DAX 30以及恒生指数的收益率作为研究数据,用虚拟变量刻画波动指数期货推出事件,建立一元GARCH模型来探究波动指数期货的推出对于股票市场波动率的影
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本文分别选取了S&P500、DAX 30以及恒生指数的收益率作为研究数据,用虚拟变量刻画波动指数期货推出事件,建立一元GARCH模型来探究波动指数期货的推出对于股票市场波动率的影响。本文对于国外成熟市场研究的的结论将为我国波动指数产品的推出以及推出后对股票市场的影响提供理论基础,为投资者作出投资决策提供参考。
In this paper, the returns of S & P500, DAX30 and Hang Seng Index are respectively selected as the research data, the volatility index futures launch events are depicted by using the dummy variables, and a one-way GARCH model is established to investigate the impact of the introduction of the volatility index futures on the volatility of the stock market. The conclusion of this paper on mature foreign markets will provide a theoretical basis for the introduction of China’s volatility index products and its impact on the stock market after its launch, providing reference for investors to make investment decisions.
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