股市危机中股指期货应该限制交易吗——基于2015年股市危机的实证分析

发布时间：2018-01-02 10:39

本文关键词：股市危机中股指期货应该限制交易吗——基于2015年股市危机的实证分析　出处：《统计与信息论坛》2017年01期 　论文类型：期刊论文

【摘要】：利用上证50、沪深300和中证500股指期货合约及其相应指数的高频数据,克服了传统BEKK和DCC模型的不足,通过建立VECM-DCC-VARMA-AGARCH模型考察股市危机期间中国股指期货市场与股票市场之间的信息传导关系与风险传染效应。研究结果表明,股市危机期间股指期货具有很强的价格引导和风险传染效应,股指期货的持续波动加剧了股票市场的进一步波动。因此,提出风险传染效应与市值规模相关、非对称效应和非预期冲击效应与市值规模负相关、波动的风险传染效应与市值规模正相关。危机时期,应抑制股指期货市场上的过度投机,对股指期货采取限制开仓、提高交易保证金和交易手续费都是正确和切实可行的措施。建议监管当局健全股指期货和股票市场交易制度。
[Abstract]:Using the high frequency data of Shanghai Stock Exchange 50, Shanghai Shenzhen 300 and China Stock Exchange 500 stock index futures contracts and their corresponding indices, the shortcomings of traditional BEKK and DCC models are overcome. The relationship between information transmission and risk contagion between Chinese stock index futures market and stock market during the stock market crisis was investigated by establishing VECM-DCC-VARMA-AGARCH model. Ming. Stock index futures have strong price guidance and risk contagion effect during the stock market crisis. The continuous fluctuation of stock index futures intensifies the further volatility of the stock market. Therefore, the risk contagion effect is related to market value scale. Asymmetric effect and unexpected impact effect are negatively correlated with market value scale, risk contagion effect of volatility is positively related to market value scale. In crisis period, excessive speculation in stock index futures market should be restrained. It is correct and feasible to take measures to restrict the opening of stock index futures and raise the margin and transaction fees. It is suggested that the regulatory authorities should improve the trading system of stock index futures and stock markets.
【作者单位】：中国人民大学财政金融学院;
【基金】：中国人民大学2016年度拔尖创新人才培育资助计划成果
【分类号】：F832.51;F724.5
【正文快照】： 一、引言2015年是中国资本市场上最值得深刻反思和认真研究的一年,因为这一年中国股票市场出现了一次严重的危机。根据学术界的概念和标准,股价指数在10个连续交易日累计下跌超过20%,就可以认为这个市场出现了危机,代表上海证券交易所全部上市股票走势的上证指数在2015年有两

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