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| 股指期货对于市场波动性影响的分析——基于KOSPI200和TAIEX股指期货的实证分析 | |
| 引用本文： | 刘考场,李树丞,舒杨.股指期货对于市场波动性影响的分析——基于KOSPI200和TAIEX股指期货的实证分析[J].河北大学学报(哲学社会科学版),2008,33(3):121-125. |
| 作者姓名： | 刘考场 李树丞 舒杨 |
| 作者单位： | 1. 湘潭大学,湖南,湘潭市072750 2. 湖南大学,长沙,410082 3. 中央财经大学,北京,100081 |
| 摘 要： | 本文运用改进的GARCH模型,以新兴市场国家和地区--韩国和台湾股票指数及相应现货指数为样本,就股指期货对市场波动性的影响进行了实证分析.研究结果表明:股指期货上市后的较短时期内,股指期货市场及其相应现货市场的波动性略有增加;但长期而言,伴随股指期货市场的日趋成熟,股市和期市的波动性将逐步减小. |
| 关 键 词： | 股指期货 波动性 GARCH模型 |
| 文章编号： | 1005-6378(2008)03-0121-05 |
| 修稿时间： | 2007年12月3日 |
An Analysis of the Impact of the Stock Index Futures on the Market Fluctuations——An Empirical Study Based on the KOSPI200 and TAIEX Stock Index Future |
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| LIU Kaochang,LI Shucheng,SHU Yang.An Analysis of the Impact of the Stock Index Futures on the Market Fluctuations——An Empirical Study Based on the KOSPI200 and TAIEX Stock Index Future[J].Journal of Hebei University(Philosophy and Social Science),2008,33(3):121-125. | |
| Authors: | LIU Kaochang LI Shucheng SHU Yang |
| Institution: | LIU Kaochang1 LI Shucheng2 SHU Yang3(1 Xiangtan University,Xiangtan 072750,2 Hunan University,Changsha 410082,3 Municipal Government of Zhuozhou,Beijing 10081,China) |
| Abstract: | This paper,adopting the modified GARCH model,analysises the impact of the stock index futures on the market volatility,with the sample data from the emerging market countries or regions-South Korea and Taiwan.The results show that: in a relatively short period after the introduction of the stock index futures,the volatility of the stock index futures market and of the corresponding spot market increased slightly.Nonetheless,in the long term,the volatility of the stock index futures market and of the corresp... |
| Keywords: | stock index futures volatility GARCH model |
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