中国股市大幅波动期间股指期货对指数现货波动影响.docVIP

中国股市大幅波动期间股指期货对指数现货波动影响 　　摘要：针对股指期货做空机制与做多机制对指数现货的影响有无异同的问题，将2014年7月至2015年8月间中国股市的大幅波动分为上涨期和下跌期，通过沪深300股指期货以及沪深300指数现货每5分钟的数据，利用Garman Klass波动率度量公式、双变量GARCH模型和EGARCH模型来分析波动中股指期货对指数现货波动的影响。研究认为，在市场处于大幅波动期，股指期货和指数现货两个市场之间存在双向价格引导关系，其中指数现货市场处于主导地位，两个市场之间风险是相互传递的，其中指数现货市场的风险传递更加显著；在中??股市波动的利多阶段，股指期货的负收益会促进指数现货的波动，在利空阶段，股指期货的负收益影响大于正收益影响，股指期货的做空机制对指数现货市场带来的影响大于做多机制带来的影响；股指期货以其本身固有的领先于股指的特性，在应该抑制波动的时候反而加剧了波动，造成了负面影响，中国金融市场应重视其负面影响，并采取有效措施来加强对负面影响的控制 关键词：股指期货；指数现货；风险传递；做空机制；市场波动 中图分类号：F830.91文献标志码：A文章编号2017 Abstract： In view of the similarities and differences that shortselling mechanism and long mechanism of stock index futures affect the index spot， the sharp fluctuation of Chinas stock market was divided into rising and falling periods from July 2014 to August 2015. Basis on the data of every 5 minutes of the CSI 300 stock index futures and the CSI 300 index spot， this paper analyzed the impact of stock index futures on index spot volatility during the sharp fluctuation by Garman Klass volatility measurement formula， bivariate GARCH model and EGARCH model.The results show that there is a twoway price relationship between the stock index futures market and index spotmarket during the sharp fluctuation of the market， in which the index spot market is dominant with more significant risk transmission and the risks between the two markets are communicated with each other； in the bullish period of Chinas stock market volatility， the negative return of stock index futures will promote the volatility of the index spot. In the bad stage， the negative impact of stock index futures is greater than the positive effect. The impact of shortselling mechanism of stock index futures on the spot market is greater than that of long mechanism； by the characteristics of inherent precedency over stock index， stock index futures exacerbate volatility when it should curb volatility， causing negative effects. Chinas financial market should pay attention to its negat