收益率非线性波动与反馈交易行为——基于EGARCH模型的实证检验及其对金融监管的启示  

Nonlinear Volatility of Yield and Feedback Trading Behavior: An Empirical Study Based on EGARCH Model and its Enlightenment to Financial Regulation

作　　者：杨帆[1] 熊海斌[2] 

机构地区：[1]湖南科技学院,湖南永州425199 [2]湘潭大学商学院,湖南湘潭411105

出　　处：《广东财经大学学报》2014年第1期53-61,共9页Journal of Guangdong University of Finance & Economics

基　　金：国家人文社会科学基金项目(12BZX060);教育部人文社会科学研究项目(11YJA870016);湖南省社会科学基金项目(13B028)

摘　　要：选取股指期货市场的日收益数据,构造非对称的广义自回归条件异方差模型(EGARCH)来测度期指市场中的正反馈交易行为。研究结果表明:股指期货市场正反馈交易行为具有杠杆效应(波动率不对称),具体表现为,当市场整体走弱时,负面消息对市场的冲击要远远大于正面消息对市场的冲击;股指期货价格在受当前具体交易影响的同时,还会受前期反馈交易机制滞后效应的影响,即正反馈交易机制存在长期记忆性。基于此结论,建议监管层完善股票市场的信息披露制度,放开对机构交易股指期货仅限于套期保值的行政管制,丰富股指期货的标的指数等。Based on the daily earnings data of stock index futures market, the paper builds asymmetrical generalized autoregressive conditional heteroseedasticity model （EGARCH） to measure its positive feedback transaction behavior. It finds that the stock index futures market＇ s positive feedback transaction behavior has a leverage effect （asymmetric volatility）, which shows that when the whole market is declining, negative in- formation attacks the market more heavily than positive information; when the stock index futures price is be- ing influenced by the current specific exchange, it will also be influenced by the lagging effect of the early feedback trading mechanism in the meanwhile, namely, the positive feedback trading mechanism has a long- term memory. Based on the conclusion of the empirical study, it raises several policy suggestions for refer- ence, hoping to bring some inspiration to our country＇ s reform of financial supervision system.

关 键 词：股指期货 非线性波动 反馈交易行为 EGARCH模型 金融监管 

分 类 号：F224[经济管理—国民经济] F830.9