股指期货能有效降低股票市场波动吗？--基于国际证券市场短、中、长期的实证研究
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| Title | Can stock index futures reduce stock market volatility effectively?
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| 作者 | 李俊峰 胡德佳 苏治 |
| Author | Li Junfeng, Hu Dejia and Su Zhi |
| 作者单位 | 中央财经大学 |
| Organization | Central University of Finance and Economics |
| 作者Email | lijf@cufe.edu.cn |
| 中文关键词 | 股指期货 股票市场 波动性 GARCH模型 |
| Key Words | Stock Index Futures ；Stock Market ； Volatility ； GARCH model |
| 内容提要 | 本文基于国际成熟和新兴的股票市场历史数据,采用引进虚拟变量的GARCH模型，分别研究股票指数期货推出的短期、中期和长期三个阶段所对应的股票市场的波动性的变化。研究结果表明：股指期货推出的前后120个交易日内，股票市场的波动程度倾向于加剧，但是这种影响不显著。现货市场波动性传递过程的特点表明,随着股指期货市场的发展、成熟，股指期货对现货市场波动性的平抑作用是一个循序渐进的过程。 |
| Abstract | Based on the historical data from mature and emerging markets, this paper studies the stock index futures of different stages of development for the impact of volatility in the stock market. By introducing dummy variables, GARCH model is developed respectively to deal with the changes of the volatility in the cash market when the introduction of stock index futures is seperated into three stages of short, medium and long-term. The results show that: before and after the introduction of index futures on the spot within 120 days of market, the volatility tends to increase, but this effect is not significant. With the development of stock index futures market, the delivery process of the volatility in the stock market presents the stabilizing effect on stock market volatility from the stock index futures is gradually reflected. |
| 文章编号 | WP642 |
| 登载时间 | 2014-08-01 |
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