中证500股指期货的推出对中国股票市场波动性的影响研究——基于Markov-Switching-GARCH模型  

A Study on the Impact of the Launch of CSI 500 Stock Index Futures on the Volatility of China’s Stock Market—Based on the Markov-Switching-GARCH Model

作　　者：邵佳磊 

机构地区：[1]浙江财经大学数据科学学院,浙江 杭州

出　　处：《统计学与应用》2024年第6期2411-2424,共14页Statistical and Application

摘　　要：本文研究了中证500ETF期权推出对中国股票市场波动性的影响。通过对2011年6月1日至2023年6月30日的中证500指数收益率序列进行分析,分别建立GARCH和Markov-Switching-GARCH模型,比较期权推出前后的市场表现。结果表明,期权的推出显著增强了市场的稳定性,减小了波动持续性,降低了对信息的过度敏感性。此外,期权市场的存在为投资者提供了风险规避的工具,使得市场对信息冲击的反应更加理性。最后,基于实证结果,提出了对投资者和监管者的建议,以进一步推动金融市场的发展。This paper investigates the impact of the launch of the CSI 500 ETF options on the volatility of the Chinese stock market. By analyzing the return series of the CSI 500 Index from June 1, 2011, to June 30, 2023, we establish both GARCH and Markov-Switching-GARCH models to compare market performance before and after the introduction of options. The results indicate that the introduction of options significantly enhances market stability, reduces volatility persistence, and diminishes over-sensitivity to information. Furthermore, the presence of the options market provides investors with tools for risk hedging, leading to more rational responses to information shocks. Finally, based on the empirical findings, recommendations are made for both investors and regulators to further promote the development of the financial market.

关 键 词：中证500ETF期权 波动性 GARCH模型 Markov-Switching-GARCH模型 市场稳定性 

分 类 号：F83[经济管理—金融学]