股指期货对股市正反馈交易行为的影响  

The Effects of Stock Index Futures on Positive Feedback Trading in Stock Market

作　　者：张中华[1] 林众[1] 

机构地区：[1]中南财经政法大学金融学院,武汉430073

出　　处：《商业研究》2013年第8期129-134,共6页Commercial Research

基　　金：中南财经政法大学"研究生创新教育计划"项目;项目编号:2012S0436

摘　　要：利用正反馈交易模型与非对称冲击TARCH模型,本文实证研究了我国股指期货的推出对股市投资者正反馈交易行为的影响。结果表明:我国股市当前存在正反馈交易行为;股指期货的短期抑制效应不大,长期抑制效应渐现但不显著;股指期货有利于投资者对消息的理性反应,是抑制股市正反馈交易行为的重要原因。This paper mainly studies the effects of stock index futures on the stock market investors＇ positive feedback trading activity by combining the positive feedback trading model with the TARCH model of the asymmetric impact.The results show that： China stock market currently exists positive feedback trading;the short-term inhibitory effect of stock index futures is not significant,however,the long-term inhibitory effect takes shape but is not significant;stock index futures make the investors＇ reaction to the news be more rational,which is an important reason for inhibition of positive feedback trading behavior.

关 键 词：股指期货 正反馈交易 中国市场 

分 类 号：F830.93[经济管理—金融学]