股指期货对股票市场波动性影响的实证分析  

Analyzing the Impact of Stock Index Futures on Stock Market Volatility

作　　者：侯富强[1] 李水凤[1] 

机构地区：[1]深圳大学经济学院金融系,广东深圳518060

出　　处：《深圳大学学报（人文社会科学版）》2012年第2期105-111,共7页Journal of Shenzhen University：Humanities & Social Sciences

摘　　要：2010年4月,中国股市股指期货上市交易,人们对股指期货寄以重望。然而我们看到的是,在股指期货推出至今已近一年的时间里,股市并没有因它而变得更加稳定,特别是刚推出后的两个月中我国股票市场大跌。如何看待股指期货的风险?通过采用基于GARCH模型的VaR方法比较S&P500指数期货推出前后其指数的波动情况,可以得出股指期货的推出在短期内将导致股票指数较大波动,但长期不会给市场带来大的动荡;而且从我国沪深300指数的波动状况看,也可以得出在短期内股指期货的推出对股市的波动有相似的结论。April 2010,stock index futures began trading on China＇s stock market under enormous public expectations.However,almost a year since its debut the stock market has not become more stable as a result of its launching;the first two months even saw the market plunge heavily.How should we evaluate the risks of Stock Index Futures？ Using the VaR method of the GARCH model to compare the volatility of the SP500 index before and after the launch of its index futures,we can see that the stock market became more unstable in the short term as a result of the launch,but in the long term the market did not become more volatile.Using the same method to analyze CSI300 data will produce similar results.

关 键 词：股指期货 GARCH模型 VAR方法 

分 类 号：F830.91[经济管理—金融学]