| 基于GARCH模型的沪深300股指期货对现货市场波动性研究 |
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| 引用本文： | 乔桂明,吴刘杰. 基于GARCH模型的沪深300股指期货对现货市场波动性研究[J]. 求是学刊, 2012, 39(2): 67-71 |
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| 作者姓名： | 乔桂明 吴刘杰 |
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| 作者单位： | 苏州大学东吴商学院,江苏苏州,215021 |
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| 基金项目： | 2010年度江苏省高校哲学社会科学研究重点项目“江苏现代金融服务外包发展战略、思路、模式、途径与政策研究”,项目编号:2010ZDIXM053 |
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| 摘 要： | 文章用全球金融危机全面爆发以来的样本数据,基于GARCH模型分析了沪深300股指期货上市前后我国股票价格指数的波动性,并对其信息传递功能进行了探讨.结果发现:沪深300股指期货的上市使得现货市场上的信息传递速度加快；总体来看,沪深300股指期货的上市在一定程度上降低了现货市场的波动性,但统计意义上并不显著,原因在于我国股指期货微观结构不完善,其功能尚未完全发挥.
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| 关 键 词： | GARCH模型 沪深300股指期货 股价指数 波动率 |
Studies on the Impacts of CSI300 Index Futures on the Volatility of Stock Markets Based on GARCH Model |
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| QIAO Gui-ming , WU Liu-jie. Studies on the Impacts of CSI300 Index Futures on the Volatility of Stock Markets Based on GARCH Model[J]. Seeking Truth, 2012, 39(2): 67-71 |
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| Authors: | QIAO Gui-ming WU Liu-jie |
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| Affiliation: | (Dongwu School of Securities and Finance,Soochow University,Suzhou,Jiangsu 215021,China) |
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| Abstract: | Based on the GRACH model,the paper applies the post-financial crisis dates to do a further empirical study about the impact of CSI300 Stock Index Futures on the volatility of stock markets,as well as the function of information transit on CSI300 Stock Index Futures.The research shows that the introduction of the CSI300 index futures speeds up the velocity of information transmission;and the introduction of the CSI300 Index futures releases the volatility of the spot index,but its statistical significance is not significant.The reason is that the microstructure of CSI300 Stock Index Futures is imperfect;its function has not been fully realized. |
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| Keywords: | GARCH mode CSI300 index futures stock price index volatility |
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