中国股指期货对现货波动性影响的实证研究  

An Empirical Study on the Influence of China Stock Index Futures on the Volatility of the Spot Stock Index

作　　者：张红波[1] 夏庆[2] 

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072 [2]中国人民解放军军事经济学院基础部,湖北武汉430035

出　　处：《华北电力大学学报（社会科学版）》2013年第4期18-24,共7页Journal of North China Electric Power University(Social Sciences)

摘　　要：本文从实证研究的角度验证了沪深300股指期货对于中国股票现货市场波动性的影响作用;结论是:股指期货的上市略微降低了上证指数收益率的波动性,但是影响程度有限;股指期货具备稳定现货市场波动的功能,相关的政府部门可以及时的观察股指期货的最新走势,了解经济状况,以应对经济波动,防止危机发生。This paper verifies the Shanghai and Shenzhen 300 stock index futures in China stock market volatility function from an empirical perspective.The conclusion is： stock index futures market slightly reduces the volatility of Shanghai stock index returns,but the degree of influence is limited,stock index futures have stablized cash market volatility function,and the relevant government departments can timely watch out the latest trend of stock index futures,to have an understanding of the economic situation,to cope with economic fluctuations and to prevent the crisis.

关 键 词：股指期货 股指波动性 现货市场 现货波动 

分 类 号：F832.51[经济管理—金融学]