股指期货对于市场波动性影响的分析--基于KOSPI200和TAIEX股指期货的实证分析  

An Analysis of the Impact of the Stock Index Futures on the Market Fluctuations——An Empirical Study Based on the KOSPI200 and TAIEX Stock Index Future

作　　者：刘考场[1] 李树丞[2] 舒杨[3] 

机构地区：[1]湘潭大学,湖南湘潭市072750 [2]湖南大学,长沙410082 [3]中央财经大学,北京100081

出　　处：《河北大学学报（哲学社会科学版）》2008年第3期121-125,共5页Journal of Hebei University(Philosophy and Social Science)

摘　　要：本文运用改进的GARCH模型,以新兴市场国家和地区——韩国和台湾股票指数及相应现货指数为样本,就股指期货对市场波动性的影响进行了实证分析。研究结果表明:股指期货上市后的较短时期内,股指期货市场及其相应现货市场的波动性略有增加;但长期而言,伴随股指期货市场的日趋成熟,股市和期市的波动性将逐步减小。This paper, adopting the modified GARCH model, analysises the impact of the stock index futures on the market volatility, with the sample data from the emerging market countries or regions - South Korea and Taiwan. The results show that： in a relatively short period after the introduction of the stock index futures, the volatility of the stock index futures market and of the corresponding spot market increased slightly. Nonetheless,in the long term, the volatility of the stock index futures market and of the corresponding spot market will be gradually reduced, with the maturity of the market.

关 键 词：股指期货 波动性 GARCH模型 

分 类 号：F83[经济管理—金融学]