沪深300股指期货对标的指数的影响——基于修正GARCH模型的实证分析

沪深300股指期货对标的指数的影响日益受到理论界和实务界关注。利用修正GARCH模型,以2007年1月4日至2011年7月22日沪深300指数为研究样本,并使用同期的上海银行同业拆放利率作为替代变量,通过整体回归和分阶段回归分析沪深300股指期货上市前后标的指数波动率的变化。研究发现:沪深300指数期货的引入降低了标的指数的波动率;同时,沪深300指数期货的引入加快了标的指数现货市场的信息传递速度。

Influence of the CSI 300 Index Futures on the Spot Market -An Empirical Analysis Based on the Modified GARCH Model

The impact of CSI 300 Index Futures on the Spot Market is increasingly drawing the attention of theorists and practitioners. We employ the CSI 300 Index sample from 4,January 2007 to 22,July 2011,and use the Shanghai Interbank Offered Rate as an alternative variable at the same period; then we employ modified GARCH model to examine the change of the spot index volatility before and after the CSI 300 index futures traded through the overall regression and stepwise regression method. The results show that the introduction of the CSI 300 Index futures reduces the volatility of the underlying index; meanwhile,the introduction of the CSI 300 index futures speeds up the velocity of information transmission.