【参考】股指期货推出对股票市场影响的实证研究.docVIP

股指期货推出对市场影响 内容提要 股指期货推出可能对股票市场产生影响波动性、成分股溢价。波动性、成分股溢价 目 录 1、引言 2 2、股指期货的推出对股票市场波动性的影响 3 2.1 现有对成熟市场的实证研究成果 3 2.2 研究方法 6 2.3 新兴市场的实证研究 10 3、股指期货的推出对指数成分股估值的影响 20 3.1 研究方法 21 3.2 新兴市场的实证研究 22 参考文献 29 1、引言 股指期货推出可能对股票市场产生影响波动性、成分股溢价。 参考文献 Abhyankar, A.H., 1995, “Return and Volatility Dynamics in the FTSE100 Stock Index and Stock Index Futures Markets”, The Journal of Futures Markets, 15(4), 457-488 Antoniou, A., and Holmes P, 1995 ,“Futures Trading, Information and Spot Price Volatility: Evidence for the FTSE-100 Stock Index Futures Contract Using　GARCH,” Journal of Banking Finance Baldauf, B. and G.J. Santoni ,1991, “Stock Price Volatility: Some Evidence from an ARCH Model” , Journal of Futures Markets Becketti, S. and D.J. Roberts ,1990, “Will Increased Regulation of Stock Index Futures Reduce Stock Market Volatility?”, Federal Reserve Bank of Kansas City Economic Review Black, F. and J.C. Cox, 1976, “ Valuing corporate securities:Some effects of bond indenture provisions”, Journal of　Finance Board, John; Sutcliffe, Charles,1995, “The relative volatility of the markets in equities and index futures”,Journal of Business Finance Accounting Carlos A. Ulibarri, John Schatzberg ,2003,“ Liquidity costs: Screen-based trading versus open outcry”, Review of Financial Economics 12 Christopher K. Ma, Ramesh p. Rao and R. Stephen Sears,1989, “Volatility,Price Resolution, and the Effectiveness of Price Limits ”, Journal of Financial Services Research. Chin, K., K. C. Chan and G. A. Karolyi, 1991, “Intraday Volatility in the Stock Index and　Stock Index Futures Markets”, The Review of Financial Studies Daigler, R. T., and M. K. Wiley.,1999, “The Impact of Trader Type on the Futures Volatility-Volume Relation.” Journal of Finance David G. McMillan , Alan E. H. Speight, 2003, “Asymmetric volatility dynamics in high frequency FTSE-100 stock index futures”, Applied Financial Economics Demus, B. J. Fleming and R.E. Whaley, 1998 “Implied volatility fuctions: empirical test.”