| 中国股指期货的价格发现功能和波动外溢效应 |
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| 引用本文： | 刘瑾婧,方兆本,李海涛.中国股指期货的价格发现功能和波动外溢效应[J].中国科学技术大学学报,2011,41(9). |
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| 作者姓名： | 刘瑾婧 方兆本 李海涛 |
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| 作者单位： | 中国科学技术大学统计与金融系,安徽合肥,230026 |
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| 摘 要： | 运用EC-EGARCH-GED模型,分析了中国股指期货的价格发现功能和波动外溢效应.研究结果表明股指期货增大了股指的波动性.从长期看,股指期货的价格影响股票指数的价格；而短期内股指期货价格对股指价格的影响比长期均衡的影响大.最后还考察了中国新上市的股指期货对沪深300指数的影响,认为股指期货的上市给股指带来了一定的冲击力.
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| 关 键 词： | EC-EGARCH-GED 股票指数 股指期货 价格发现 波动外溢 |
The impact of price discovery and volatility spillovers of index futures on stock index in China |
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| LIU Jinjing,FANG Zhaoben,LI Haitao.The impact of price discovery and volatility spillovers of index futures on stock index in China[J].Journal of University of Science and Technology of China,2011,41(9). |
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| Authors: | LIU Jinjing FANG Zhaoben LI Haitao |
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| Affiliation: | LIU Jinjing,FANG Zhaoben,LI Haitao(Department of Statistics and Finance,University of Science and Technology of China,Hefei 230026,China) |
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| Abstract: | Using the EC-EGARCH-GED model,the function of price discovery and volatility spillovers of index futures was investigated.The result suggests that index futures enlarge volatility in the stock market.In the long run,index futures have an impact on the price of stock indexes,while in the short run,the impact of index futures is greater than long run equilibrium.The effect of the recently listed index futures on the Shanghai and Shenzhen 300 stock index was measured at last and the results showed that index f... |
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| Keywords: | EC-EGARCH-GED stock index index futures price discovery volatility spillovers |
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