基于非对称视角的中证500股指期货周日历效应研究  

Research on the Weekly Calendar Effect of CSI 500 Stock Index Futures from Asymmetric Perspective

作　　者：郭康 粟子贤 刘梓玮 GUO Kang;SU Zixian;LIU Ziwei(School of Economics,Hunan Agricultural University)

机构地区：[1]湖南农业大学经济学院

出　　处：《中国商论》2021年第16期42-45,共4页China Journal of Commerce

摘　　要：股指期货作为风险对冲的工具,其收益率、波动性和时变规律对股指期货市场的平稳发展,以及股指期货作用的发挥都有着重要影响。为进一步认识当前股指期货市场变动的异常情况,本文选取上市时间较短的中证500股指期货作为研究对象,基于非对称视角,通过引入虚拟变量,利用EGARCH-M模型对中证500股指期货的周日历效应进行了验证。研究结果:中证500股指期货市场的收益率存在周二正效应和周三负效应,波动性则存在周一正效应和周二、周三的负效应。基于此,本文从信息传递、羊群效应及前景理论的角度分析该异常情况产生的原因,并提出相应的建议。The yield rate,volatility and time-varying law of stock index futures(SIF),a tool of risk hedging,can signifi cantly infl uence the steady development of SIF market and the function of SIF.To further understand the abnormal situation of the current SIF market,this article selects the CSI 500 SIF with short time of listing as the research object.Through the introduction of virtual variables,the EGARCH-M model is applied to verify the weekly calendar effect of CSI 500 SIF from asymmetric perspective.The results show that the yield rate of CSI 500 SIF in the market has positive effect on Tuesday and negative effect on Wednesday,while the volatility has positive effect on Monday and negative effect on Tuesday and Wednesday.Based on this,this article analyzes the causes of such abnormality from the aspects of information transmission,herd effect and prospect theory,with corresponding suggestions being put forward.

关 键 词：股指期货 周日历效应 非对称性 EGARCH-M模型 

分 类 号：F724.5[经济管理—产业经济]