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本文以2008年至2017年沪深300股票指数日收盘价为样本,运用GARCH模型分别从短期及长期研究股指期货的推出对现货市场波动性的影响。经分析,股指期货推出短期内有助于降低现货市场波动;但推出长期内现货市场波动较推出前及推出后短期的波动有较大幅度上升,而该波动并非由股指期货的推出导致,股指期货的稳定作用未充分发挥。我国应建立健全股票市场交易制度,增强市场成熟度,使股指期货充分发挥稳定市场的作用。
Based on the daily closing prices of CSI 300 Index from 2008 to 2017, this paper uses GARCH model to study the impact of stock index futures on spot market volatility from the short-term and long-term respectively. Analyzed, the introduction of stock index futures short-term help to reduce the spot market fluctuations; but the introduction of long-term stock market volatility than before and after the introduction of short-term fluctuations have increased substantially, and the volatility is not caused by the introduction of stock index futures, stock index The stabilizing effect of futures is not fully demonstrated. China should establish and improve the stock market trading system, enhance market maturity and make stock index futures fully play the role of stabilizing the market.