中国股指期货推出对A股波动影响分析

Analysis on the Influence of China Stock Index Future to Fluctuations of A-Share Market

摘要: 基于发展较成熟的恒生指数日收益率波动情况,引入股指期货推出前后的虚拟变量,建立ARCH和GARCH模型,检验股指期货推出对股指波动的影响,有利于揭示股指期货的波动性规律,降低市场系统性风险。实证研究结果表明,GARCH(2,1)模型拟合效果最佳;股指期货的推出,不但没有增加股指的波动性,反而对其波动性有所降低,但这种影响从数值来看非常小。

Abstract: Abstract: On April 16,2010,China launched stock index futures,and its impact to A-share market in China immediately became the main concern in the field of financial theory and practice.This paper is based on the daily return volatility of the Hang Seng Index which is relatively more mature,and introduces the dummy variable before and after the launching of stock index futures,and establishes models of ARCH and GARCH in order to test the effect of the launch of stock index futures on stock fluct..