引用本文:周亮.股指期货上市对股市波动率的影响——基于双重差分模型的分析[J].西南大学学报(自然科学版),2019,41(3):101~107
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股指期货上市对股市波动率的影响——基于双重差分模型的分析
周亮
湖南财政经济学院 学报编辑部, 长沙 410205
摘要:
选取2007年1月至2017年12月沪深300和中证500指数每周的波动率、收益率及换手率数据,采用双重差分模型考察了2010年4月16日IF合约股指期货推出及2015年4月16日IC合约股指期货推出对指数波动率的影响.结果发现:从长期角度来看,股指期货的推出可以降低指数波动率;但是短期来看,股指期货的推出并不能降低指数波动率.对于沪深300指数而言,IF合约股指期货的推出短期内对指数波动率没有显著影响;对于中证500指数而言,IC合约股指期货的推出在短期内反而提高了指数波动率.长期来看,期货市场存在着对现货市场的稳定机制,但是短期来看,稳定机制并不存在.
关键词:  股指期货  波动率  双重差分
DOI:10.13718/j.cnki.xdzk.2019.03.014
分类号:F832.51
基金项目:国家社会科学基金项目(14BJL086).
Effect of Stock Index Futures on the Stock Market Volatility——An Analysis Based on Double Difference Model
ZHOU Liang
Editorial Department of Journal of Hunan University of Finance and Economics, Changsha 410205, China
Abstract:
This paper selected volatility, yield and turnover data of Shanghai and Shenzhen 300 Index and China Securities 500 Index from January 2007 to December 2017, and used double-difference model to examine the influence of the stock index futures contract on index volatility on April 16, 2010 and April 16, 2015. The results showed that the introduction of stock index futures could reduce the index volatility in the long term; but could not in the short term. For the CSI 300 Index, the introduction of IF contract index futures had no significant impact on the index volatility in the near term; for the CSI 500 Index, the introduction of IC contract index futures in the short run increased the volatility of the index. Therefore, in the long term, there is a stabilizing mechanism for the future market to spot market; however, in the short term, the stabilization mechanism does not exist.
Key words:  stock index futures  volatility  double difference
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