日内信息结构羊群行为及风险异化-core.pdfVIP

Abstract: In order to study the impacts of introducing stock index futures on spot market, we conduct a research from the intraday information structure, herding behavior and risk change in three aspects based on the CSI 300 index logarithm yield and component data. The empirical results show that the stock index futures have signifi cant impacts on intraday information structure of spot market, which help reduce the intraday volatility and ease the help up to down effect of morning and overnight information. The herding behavior exists before and after its launching, and even enhances after its launching. The volatility sustainability measured by SV class model is lower when it measured by GARCH model, and the volatility stage is stable. As a whole, introducing stock index futures weaken the fl uctuations in spot market. Keywords: intraday information structure, herding behavior, stock index futures, markov-switching stochastic volatility model