摘要
文章运用EGARCH、多元GARCH、GRANGER非因果性检验、CHOW断点检验等计量经济方法,检验了股指期货上市对股票市场波动的效应、对现货中外联合动态关系的影响、期现之间的先行-滞后关系以及股指期货交易行为对现货波动的影响。研究表明,股指期货的引入加大了现货市场的波动,外生的波动事件通过期货交易,加大了现货市场的波动,引入股指期货后,中外股市的联合动态关系有显著改变。
This paper examines the effect of introduction of index futures on Chinese stock market.We employ four empirical methods:EGARCH model,Multi-variate GARCH,a Granger causality test,and Chow breakpoint test.The results show an increase in volatility of stock market through futures' trading,after a trigger from exogenetic event.The results also show a remarkable change in conditional covariance between China and world return.
出处
《大连理工大学学报（社会科学版）》
CSSCI
2012年第1期14-18,共5页
Journal of Dalian University of Technology(Social Sciences)
基金
国家自然科学基金项目(70601020
70971098)
关键词
股指期货
波动性
条件协方差
index futures
volatility
conditional covariance
