中国股指期货与股票市场波动的实证研究

2011 International Conference on Information Management, Innovation Management and Industrial Engineering Pub Date : 2011-11-26 DOI:10.1109/ICIII.2011.292

Yongxing Wu

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引用次数: 3

摘要

通过对中国股指期货启动以来沪深300指数波动情况的研究，结果表明中国股市存在明显的ARCH效应。“不对称”和“杠杆化”也存在。但在股指期货启动后，ARCH效应明显减弱。结果还表明，外部因素对股市的影响将是持久的。而且这种趋势一旦形成就很难改变。股指期货具有降低股市波动的稳定能力。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Empirical Research on the Fluctuation between Chinese Stock Index Futures and Stock Market

Based on the research into the case of the fluctuation of Shanghai and Shenzhen 300 stock index with the beginning of Chinese Stock Index Futures, the result shows that ARCH effect is visible existed in China stock market. "Asymmetry" and"Leveraged" are also existed. But the ARCH effect is weakened in evidence after the starting of stock index future. The result also shows that external factors impact on the stock market would be durable. And the trend is uneasy to change if it has been formed. Stock index futures has the stable ability to reduce the fluctuation of stock market.

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2011 International Conference on Information Management, Innovation Management and Industrial Engineering

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