| 股指期货上市对现货市场的影响——来自中国的实证研究 |
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| 引用本文： | 梁朝晖. 股指期货上市对现货市场的影响——来自中国的实证研究[J]. 大连理工大学学报(社会科学版), 2012, 33(1): 14-18 |
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| 作者姓名： | 梁朝晖 |
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| 作者单位： | 天津工业大学经济学院,天津,300387 |
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| 基金项目： | 国家自然科学基金项目(70601020;70971098) |
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| 摘 要： | 文章运用EGARCH、多元GARCH、GRANGER非因果性检验、CHOW断点检验等计量经济方法,检验了股指期货上市对股票市场波动的效应、对现货中外联合动态关系的影响、期现之间的先行-滞后关系以及股指期货交易行为对现货波动的影响。研究表明,股指期货的引入加大了现货市场的波动,外生的波动事件通过期货交易,加大了现货市场的波动,引入股指期货后,中外股市的联合动态关系有显著改变。
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| 关 键 词： | 股指期货 波动性 条件协方差 |
The Effects of Introduction of Stock Index Futures on Stock Market: Evidence from China |
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| LIANG Zhao-hui. The Effects of Introduction of Stock Index Futures on Stock Market: Evidence from China[J]. Journal of Dalian University of Technology(Social Sciences), 2012, 33(1): 14-18 |
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| Authors: | LIANG Zhao-hui |
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| Affiliation: | LIANG Zhao-hui (College of economics,Tianjin Polytechnic University,Tianjin 300387,China) |
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| Abstract: | This paper examines the effect of introduction of index futures on Chinese stock market.We employ four empirical methods:EGARCH model,Multi-variate GARCH,a Granger causality test,and Chow breakpoint test.The results show an increase in volatility of stock market through futures’ trading,after a trigger from exogenetic event.The results also show a remarkable change in conditional covariance between China and world return. |
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| Keywords: | index futures volatility conditional covariance |
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