股指期货对A股市场影响的实证基于波动性与GARCH模型剖析.doc

股指期货对A股市场影响的实证分析 基于波动性与GARCH模型 2012年3月11日 摘 要 股指期货是以股价指数为标的物的标准化期货合约300股指期货备受关注，股指期货对A股市场的影响成为专家和学者探讨研究的热点话题。引入了杠杆交易与做空交易规则的沪深300股指期货以沪深300指数作为交易标的，为投资者提供了风险管理的工具，也改变了国内A股市场的市场环境。经过研究和探讨，许多学者认为沪深300股指期货对市场收益率波动性会产生影响。经过近两年实盘运行后，股票市场环境有怎样的改变，尤其是收益波动率的变化程度，是本文需要探讨的问题。 本文以2010年4月16日股指期货上市交易为一个关键的时间点，选取A股市场沪深300指数1665个日收益数据进行分析，揭示股指期货上市运行后，现货市场波动性的实际变化。，本文以广义自回归条件异方差（GARCH）族模型分析指数日收益率波动性特征，首先通过描述性统计分析，验证沪深300股指日收益率数据的ARCH 效应；进而筛选出最优的拟合模型和参数；最后运用EGARCH模型，通过引入虚拟变量分析沪深300股指期货上市前后的变化，研究指数日收益率的波动性变化程度。 实证分析结果表明，沪深300股指期货的上市交易降低了我国A 股市场日收益率的波动性具有稳定市场的作用。 关键词：股指期货 沪深300指数 波动性 EGARCH 模型 Abstract Stock index futures is for the standardization of the subject matter of the stock index futures contract. For stock index futures research mostly concentrates in the developed markets, emerging market research is less. With Chinas economic development, China properly with stock index futures, stock index futures of research and exploration has the important practical significance. The topic of Stock Index Futures(SIF) is drawing more attention recently in Chinese financial market.Introducing the leverage trading and do trading rules of empty HS300 stock index futures to HS300 index as trade mark, for investors with risk management tool, also changed domestic a-share market market environment. After research and discussion, many scholars believe that csi 300 stock index futures on the market rate of return volatility will have an impact. After nearly two years firm after the operation, the stock market environment what kind of change, especially earnings volatility variations, this paper is to discuss the problem of need. Based on April 16, 2010 stock index futures listed trading as A key point, the selection of A share market HS300 index 1665, income data analysis, this paper stock index futures listed after the operation, the spot market volatility real changes. This paper, the generalized regression conditions heteroscedastic (GARCH) family model analysis