摘要
本文以上证50ET F期权为研究对象,利用G A R C H及T A R C H模型深入研究上证50ET F期权推出对股票市场波动性的影响,利用V EC模型及方差分解方法研究宏观经济在股票期权推出前后对股票市场贡献度的变化。研究发现股票期权推出能降低股票市场的总体波动性,加大市场波动的非对称性。同时,能扩大宏观经济对股票市场的贡献度,加快新信息的传递速度,改善股票市场的有效性。最后,对我国期权市场的进一步发展提出相应的建议。
The paper chooses SSE 50 ETF option as the object of study and utilizes GARCH model and TARCH model to study its impact on the volatility of stock market. We analyze further the changes in the contribution of macro economy to stock market before and after the launch of stock iudex option, utilizing VEC model and variance decomposition. The study finds that its launch can reduce the overall volatility of stock market and increase the asymmetry of market volatility. In addition, it expands the contribution degree of macro economy on the stock market and accelerates the speed of new information transmission. Then feasible suggestions are put forward for the further devel- opment of the option market in China.
出处
《价格理论与实践》
CSSCI
北大核心
2016年第11期118-121,共4页
Price:Theory & Practice
基金
国家社会科学基金资助项目(15BJY155)
