| 5,012 | 295 | 43 |
| 下载次数 | 被引频次 | 阅读次数 |
股指期货的推出对现货市场波动性的影响一直以来备受学术界的关注。目前的研究表明,长期内股指期货对现货市场波动性影响不明显,短期内有助推作用。本文基于中金所推出的沪深300指数仿真期货对沪深300指数的影响进行了分析,发现股指期货的推出对现货市场的波动性没有较大影响,但增大了现货市场的非对称效应;研究结果不能证明股灾时期股指期货对现货产生瀑布效应。
Abstract：[1]Weller,Paul,Makoto Yano.Forward Exchange,Futures Trading,and Spot Price Variability:A General EquilibriumApproach[J].Econometrica,1987,(55):6.
[2]Froot,K.A.,Perold,A.F.New Trading Practices and Short Run Market Efficiency[M].WP MIT,1991.
[3]Antoniou,A.,Holmes,P.Futures Trading,Information and Spot Price Volatility:Evidence for the FTSE-100 Stock IndexFutures Contract Using GARCH[J].Journal of Banking and Finance,1995,(19):117-129.
[4]Lee,S.B.,K.Y.Ohk.Does Futures Trading Increase Stock Market Volatility?The U.S.,Japan,the U.K.,and HongKong[J].Review of Futures Markets,1992,(11):253-293.
[5]Harris,Lawrence.S&P500 Cash Stock Price Volatilities[J].Journal of Finance,1989,(46):1155-1175.
[6]United States.Presidential Task Force on Market Mechanisms.1988,Brady Commission report[C].Other titles:Report ofthe Presidential Task Force on Market Mechanisms.The Task Force,For sale by the Supt.of Docs.,U.S.G.P.O.(Washington,D.C).vii,73,[277].
[7]Edwards,F.R.Does Futures Trading Increase Stock Market Volatility[J].Financial Analysts Journal,1988a,(44):63-69.
[8]Aggarwal,Reena.Stock Index Futures and Cash Market Volatility[J].Review of Futures Markets,1988,7(2):290-299.
[9]Danthine,Jean-Pierre.Information,Futures Prices,and Stabilizing Speculation[J].Journal of Economic Theory,1978,(17):79-98.
[10]Antoniou,A.,P.Holmes,R.Priestley.The Effects of Stock Index Futures Trading on Stock Index Volatility:An Analysisof the Asymmetric Response of Volatility to News[J].Journal of Futures Markets,1998,(18):151-166.
[11]郭睿.引进股指期货对现货市场的影响研究[D].长春:吉林大学,2005.
[12]李华,程婧.股指期货推出对股票市场波动性的影响研究[J].金融与经济,2006,(2).
[13]刘考场,李树丞,舒杨.股指期货对于市场波动性影响的分析——基于KOSPI200和TAIEX股指期货的实证分析[J].河北大学学报,2008,(3).
[14]Cox,Chades,C.Futures Trading and Market Information[J].Journal of Political Economy,1976,84(6):1215-1237.
[15]Ross,Stephen A.Options and Efficiency[J].Quarterly Journal of Economics,1989,90(1):75-89.
[16]Subrahmanyam,Avanindar.A Theory of Trading in Stock Index Futures[J].Reviewof Financial Studies,1991,(4):17-51.
[17]Merton,RC.Financial Innovation and the Management and Regulation of Financial Institutions[J].Jounal of Banking andFinance,1995,(19):461-481.
[18]丁娟.信息对股票收益率波动非对称性影响的研究[J].天津商学院学报,2003,(5).
[19]陈浪南,黄杰鲲.中国股票市场波动性非对称性的实证研究[J].金融研究,2002,(5).
[20]邢精平.股指期货:方案设计与运作分析[M].北京:中国财政经济出版社,2007.226-232.
[21]田树喜.股指期货市场与股票现货市场联动中的瀑布效应[J].济南金融,2007,(10).
[22]周翔,蒋翔林.全球股指现货和期货市场极端风险溢出检验[J].统计与决策,2009,(17).
[23]Yeh,Y.H,Lee,T.S.The Interaction and Volatility Asymmetry of Unexpected Returns in the Greater China Stock Markets[J].Global Finance Journal,2000,(11):129-149.
[24]邢天才,张阁.股指期货的推出对现货市场影响的实证研究[J].财经问题研究,2009,(7).
基本信息:
中图分类号:F224;F832.51
引用信息:
[1]邢天才,张阁.中国股指期货对现货市场联动效应的实证研究——基于沪深300仿真指数期货数据的分析[J].财经问题研究,2010,No.317(04):48-54.
基金信息:
辽宁省教育厅创新团队项目(2007T042)
2010-04-05
2010-04-05