我国股指期货市场的价格发现与波动溢出效应的实证研究的中期报告.docxVIP

我国股指期货市场的价格发现与波动溢出效应的实证研究的中期报告 摘要： 本文以沪深300指数期货为研究对象，通过实证研究探讨了我国股指期货市场价格发现与波动溢出效应的问题。研究结果显示，股指期货市场对于现货市场的价格发现作用存在显著的正向溢出效应，同时股指期货市场的波动对于现货市场的波动具有显著的负向溢出效应。此外，考虑到交易者的交易行为可能会影响市场的溢出效应，我们对个人投资者和机构投资者分别进行了进一步的分析，发现机构投资者的交易行为对于市场的波动溢出效应更为显著。因此，在未来的研究和实践中，应该重视机构投资者的交易行为对于股指期货市场的影响，创造更为良好的交易环境，促进市场的健康发展。 关键词：股指期货；价格发现；波动溢出效应；机构投资者 Abstract： This study investigates the price discovery and volatility spillover effects in Chinas stock index futures market using the CSI 300 index futures as the research object. The empirical results show that the stock index futures market has a significant positive spillover effect on the price discovery of the spot market, while the volatility of the stock index futures market has a significant negative spillover effect on the volatility of the spot market. In addition, considering the trading behavior of traders may affect the spillover effect of the market, we further analyze individual investors and institutional investors, and find that the trading behavior of institutional investors has a more significant impact on the volatility spillover effect of the market. Therefore, in future research and practice, we should pay attention to the impact of institutional investors trading behavior on the stock index futures market, create a better trading environment, and promote the healthy development of the market. Keywords: stock index futures; price discovery; volatility spillover effect; institutional investors