股指期货市场金融加速器效应的实证分析

发布时间：2018-05-07 03:20

本文选题：股指期货市场 + 股票现货市场　；参考：《上海金融》2010年04期

【摘要】：金融加速器理论认为,由于存在着摩擦成本,金融市场的波动可能是非对称的,体现为相对于"扩张"金融市场状态,"紧缩"金融市场状态下冲击的波动更加剧烈,由此产生加速效应。本文采用向量自回归模型系列对次贷危机期间SP500股指期货市场波动状态进行了计量检验,验证了其非对称波动的金融加速器效应,揭示了股指期货市场与股票现货市场之间的风险衍生机制,旨在为我国沪深300指数期货交易的风险防范提供借鉴。
[Abstract]:According to financial accelerator theory, due to the existence of frictional costs, fluctuations in financial markets may be asymmetrical, as compared with "expanding" financial market states, the volatility of shocks in "tight" financial markets is more intense. This has an acceleration effect. In this paper, a series of vector autoregressive models are used to test the volatility of SP500 stock index futures market during the subprime mortgage crisis, and the financial accelerator effect of asymmetric volatility is verified. This paper reveals the risk derivative mechanism between the stock index futures market and the stock spot market in order to provide reference for the risk prevention of Shanghai and Shenzhen 300 index futures trading in China.
【作者单位】：东北大学文法学院;辽宁大学经济学院;
【基金】：国家社科基金重点项目的阶段性成果(项目批准号:07AJY014)
【分类号】：F224;F830.9

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