基于GARCH-M模型的股指期货对股市波动影响的研究

发布时间：2018-05-18 23:15

本文选题：沪深股指期货 + 股市波动　；参考：《中国管理科学》2017年01期

【摘要】：从本轮金融危机以来,伴随着沪深股市的大幅震荡,股指期货作为规避风险、价格发现、资金配置的市场工具,其稳定股市波动性的作用再次被推向了风口浪尖。在综合评价现有研究的缺陷、既有改进方法以及其应用情况后,通过在股票价格指数的生成过程中融入风险测量构建了适应我国股市的高拟合程度的GARCH-M模型,研究股指期货对股市波动的影响。本文选取2007年8月1日到2015年4月23日沪深300股票指数的日度数据,分析了我国股市在受到较大外部冲击后,股指期货的稳定作用以及股票市场的正反馈效应等。实证结果表明:我国股票市场波动表现出正反馈效应,股指期货推出前后表现出不同程度的波动性,并且呈现出明显的"波动集群性";沪深300股指期货推出后股指的波动平均减小了4.45×10~(-6)个单位,已经初步发挥了股票市场的稳定器功能,一定程度上缓解了股市波动,但是其作用有限,功能还未能完全发挥;市场波动受旧信息的影响远大于新信息产生的影响,表明我国股市波动主要来源于前者,同时条件方差所受的冲击是持久的,即冲击对未来的股票指数走势都有重要作用。
[Abstract]:Since the current financial crisis, with the sharp shock of the Shanghai and Shenzhen stock market, the stock index futures, as a market tool to avoid risk, price discovery and capital allocation, has been pushed to the top of the wind and wave again. In the process of generating the grid index, the GARCH-M model which adapts to the high fitting degree of China's stock market is constructed, and the effect of stock index futures on the stock market volatility is studied. The daily data of the Shanghai and Shenzhen 300 stock index from August 1, 2007 to April 23, 2015 is selected and the stock index futures are analyzed after the big external impact of the stock market in China. The stability of the stock market and the positive feedback effect of the stock market. The empirical results show that the stock market volatility shows positive feedback effect, and the stock index futures show a different degree of volatility before and after the introduction of stock index futures, and shows a distinct "volatility cluster"; the volatility of the stock index of Shanghai and Shenzhen 300 stock index period after the introduction of stock index is reduced by 4.45 x 10~ (-6). The unit, which has preliminarily exerts the stabilizer function of the stock market, alleviates the volatility of the stock market to a certain extent, but its function is limited and its function has not been fully played; the influence of the market fluctuation is much more influenced by the old information than the new information. It shows that the volatility of the stock market is mainly from the former, while the impact of the conditional variance is held. For a long time, that impact will play an important role in the future stock index trend.
【作者单位】：西安电子科技大学经济与管理学院;中国科学院数学与系统科学研究院;
【基金】：国家自然科学基金资助项目(71303181) 国家留学基金委公派高级研究学者及访问学者项目(201406965014) 教育部人文社会科学研究项目(11YJC790004) 博士后面上基金项目(2014M550864) 中央高校基金科研业务费专项资金资助项目(7214566601，，7215566603) 湖南省现代服务业研究基地基金项目(16jdmszd01)
【分类号】：F832.51;F724.5

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