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2010年中国股指期货的推出完善了证券市场产品架构,为投资者提供可以规避系统性风险的投资品种,而也为股票市场波动性带来或多或少影响。本文以2009年10月16日-2010年4月16日与2012年6月26日-2012年12月26日的沪深300股票日收盘的251个数据为样本,通过引入表示股指期货推出前后的虚拟变量建立GARCH与EGARCH模型,研究结果表明我国的股指期货具有降低股票市场波动性的特性。
The introduction of China stock index futures in 2010 perfected the product structure of the securities market, providing investors with investment products that could evade systemic risk, but also more or less affected the volatility of the stock market. This paper takes the 251 data of the Shanghai and Shenzhen 300 stock market closing from October 16, 2009 to April 16, 2010 and from June 26, 2012 to December 26, 2012 as samples. By introducing the index of stock index futures GARCH and EGARCH models are established based on the dummy variables. The results show that the stock index futures in our country have the characteristics of reducing the volatility of the stock market.