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2010年4月16日,股指期货在国内正式上市交易。至今为止,我国股指期货上市已有三年的时间。股指期货对股票市场波动性的影响如何,股指期货与现货的价格引导作用怎样?本文借助TARCH模型以及VAR脉冲响应模型,探究了沪深300股指期货对股市波动性的影响,并且对于股指期货与现货互相之间的价格引导作用进行了研究分析。结果表明:股指期货的上市减弱了股市对于信息的非对称反应程度;股指期货价格的波动对于现货价格的影响大于现货价格波动对于股指期货价格的影响。
April 16, 2010, stock index futures officially listed in the country. So far, China’s stock index futures market has been three years. The impact of stock index futures on stock market volatility, stock index futures and spot price guidance how? In this paper, with the help of TARCH model and VAR impulse response model, this paper explores the Shanghai and Shenzhen 300 stock index futures on the stock market volatility, and for stock index futures and The role of the price of each other to guide the conduct of research and analysis. The results show that the listing of stock index futures weakens the asymmetric reaction of stock market to information. The influence of the fluctuation of stock index futures on spot price is greater than the impact of spot price fluctuation on the price of stock index futures.