| 股指期货对现货市场日内波动影响的研究 |
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| 引用本文： | 王卓群. 股指期货对现货市场日内波动影响的研究[J]. 科学技术与工程, 2012, 12(6): 1453-1457 |
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| 作者姓名： | 王卓群 |
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| 作者单位： | 上海交通大学,上海,200052 |
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| 摘 要： | 本文使用GARCH及其拓展模型对沪深300股指期货上市前后我国市场的高频数据进行了分析研究,研究发现：股指期货上市后,我国股票现货市场的波动性出现了显著上升,这种上升并不源于现货市场信息效率的提高。研究同时表明,股指期货引入所带来的高时间频率下现货市场的波动上升不仅仅局限于股指期货标的指数,沪深300指数成分股之外的股票波动性也出现了显著上升。研究表明,股指期货并没有提高现货市场的定价效率。
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| 关 键 词： | 股指期货 波动性 GARCH模型 |
| 收稿时间： | 2011-12-02 |
| 修稿时间： | 2011-12-07 |
A Study about the Stock Index Future's Influence on Intraday Volatility of the Stock Market |
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| wangzhuoqun. A Study about the Stock Index Future's Influence on Intraday Volatility of the Stock Market[J]. Science Technology and Engineering, 2012, 12(6): 1453-1457 |
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| Authors: | wangzhuoqun |
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| Affiliation: | WANG Zhuo-qun (Antai College of Economic & Management,Shanghai Jiao Tong University,Shanghai 200052,P.R.China) |
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| Abstract: | In this paper, we employed high-frequency data to analyze the influence of the introduction of stock index future in China, the study found: the volatility of the spot market increased significantly after the introduction of the stock index future. It is not an increase caused by improved information efficiency, but an increase caused by the rising speculation. Meanwhile, the introduction of stock index future does not only influence the volatility of the Hushen 300 index, but also the whole stock market. The study has shown that, the stock index future does not improve information efficiency of the spot market. |
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| Keywords: | stock index future volatility GARCH Model |
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