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我国股指期货的正式启动,加速了资本市场的配置,优化了融资渠道,使各类投资者构建多元化的投资组合成为可能。改变了我国证券市场的单边市场的格局,推动了证券行业的发展。但股指期货带来过度投机交易,是否会引起股票现货市场的剧烈波动,存在大量争议。基于此,本文以沪深300指数的日收盘价作为样本原始数据,运用计量分析方法建立GARCH模型对我国股指期货与股票市场波动性的关系进行研究。
The official launch of China’s stock index futures has accelerated the allocation of capital markets and optimized the financing channels, making it possible for investors of all kinds to construct diversified investment portfolios. It has changed the pattern of the unilateral market in China’s securities market and promoted the development of the securities industry. But stock index futures bring excessive speculative trading, whether it will cause the stock spot market volatility, there is a lot of controversy. Based on this, taking the daily closing price of Shanghai-Shenzhen 300 Index as the sample raw data, this paper uses the method of econometrics to establish GARCH model to study the relationship between stock index futures and stock market volatility in China.