股指期货对中国a股市场波动性的影响分析金融学专业论文.docxVIP

A b A b s tr a c t C h in a F in an cial F u tu res E x ch an ge o fficially lau n ch ed C S I300 S to ck In dex F utures on A p ril 16 2 0 10 ，w h ich cau sed w idesp read co n cern o f the co m m unity , also cau sed co n cern s ab o u t sto ck m ark et v o latility of th e inv esto rs in th e stock in dex futu res increased . B ecau se o f th e A cadem ia condu ct exten siv ely em p irical stu dies the A cadem ia con d u cted , th e p resen t resu lts can b e g ro u p ed into fou r catego ries: stock in d ex futu res in creased v o latility o f the sto ck m ark et, sto ck in d ex futu res red uced th e v o latility , stock in d ex futu res h adn t affect th e v o latility , sto ck in dex fu tu res sto ck affect th e v o latility o f a com p licated im p act. S o , th ere are great discrep an cy in th e relation ship b etw een sto ck in dex futu res and sp o t m ark ets in term s o f th eory an d em p irical asp ects. T h is article w as am en d ed o n th e w id ely u sed G A R C H M o d el, in o rder to test th e im p act of stock ind ex on the stock m ark et volatility .T h is article also investigated the im p act o f stock in dex futu res on th e sp ot m ark et as a w h o le an d in sm all cap sto ck s, the stu dys data w ere the C S I 3 00 Index and sm all cap ind ex . T h e sam p le data is d iv ided into sh ort-term (three m o nth s b efo re an d after th e listin g o f sto ck in d ex futu res of 64 trad in g d ay s),m ed iu m -term (stock in d ex futures m ark et b efore and after 1 y ear a total o f 2 4 2 trad ing d ay s) an d lo n g -term (b efo re an d after th e listin g o f sto ck index fu tu res fo r th e p ast th ree y ears a total o f 9 34 tra d in g d ay s) th ree tim e p eriod s, an d th e m ed iu m -term an d sh o rt-term C S I 3 0 0 in d ex d ata d ay an d m in u te o f tw o freq u en cies. S in c e th e in tro d u c tio n o f sto c k in d e x fu tu re s to c o in c id e w ith th e in tro d u c tio n o