从本轮金融危机以来,伴随着沪深股市的大幅震荡,股指期货作为规避风险、价格发现、资金配置的市场工具,其稳定股市波动性的作用再次被推向了风口浪尖。在综合评价现有研究的缺陷、既有改进方法以及其应用情况后,通过在股票价格指数的生成过程中融入风险测量构建了适应我国股市的高拟合程度的GARCH-M模型,研究股指期货对股市波动的影响。本文选取2007年8月1日到2015年4月23日沪深300股票指数的日度数据,分析了我国股市在受到较大外部冲击后,股指期货的稳定作用以及股票市场的正反馈效应等。实证结果表明:我国股票市场波动表现出正反馈效应,股指期货推出前后表现出不同程度的波动性,并且呈现出明显的“波动集群性”;沪深300股指期货推出后股指的波动平均减小了4.45×10-6个单位,已经初步发挥了股票市场的稳定器功能,一定程度上缓解了股市波动,但是其作用有限,功能还未能完全发挥;市场波动受旧信息的影响远大于新信息产生的影响,表明我国股市波动主要来源于前者,同时条件方差所受的冲击是持久的,即冲击对未来的股票指数走势都有重要作用。
Since the financial crisis from 2007, the Chinese stock market has experienced large volatilities. CSI300 future has received a great deal of attention in recent years for its market stable function, even though it's made to be as a hedge against the risk, price discovery, and market capital allocation tool. After analyzing shortages of existing researches, methods and their applications, the integration of risk measurement process is introduced into the GARCH-M model to measure the volatility of stock market and study the effect of stock index futures on stock market fluctuations. By using the daily data of CSI 300 from August 1st, 2007 to April 23rd, 2015, a highly fitting GARCH-M model is built. The empirical study shows the impact of CSI 300 index future on the stock market volatility after the large external shock. First, there is a positive feedback in the stock market, with different levels of volatility before and after the introduction of stock future and exhibits significant "volatility clustering". Second, the CSI 300 index future has reduced the volatility index of the average 4.45×10-6 units, played a function as a controller, and eased the stock market volatility to some extent. However, its impact is limited and not fully realized. Finally, the market volatility in China is mainly affected by the old information far more than the new information, while its impact on the conditional variance is durable and has an more important role for the future impact of stock index movements.
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