作 者: ;
机构地区: 广东外语外贸大学金融学院
出 处: 《金融发展研究》 2017年第6期48-53,共6页
摘 要: 本文利用2013—2016年沪深300指数收盘价的日收益率数据,首先采用GARCH(1,1)模型,分析了在剔除融资融券变量之后,限制股指期货的政策对股市的波动影响,然后使用EGARCH(1,1)模型分析股指期货限制对股市非对称效应的影响,最后通过中证500、上证50股指期货收盘价数据和调整数据周期进行了稳健性检验。研究结果表明:限制股指期货的政策降低了股市的波动性,但加剧了股市的非对称效应。 Using the Shanghai and Shenzhen 300 index closing day yield data from 2013 to 2016, and with- GRACH ( 1, 1 ), this paper analyzes the influence of limiting stock index futures on the volatility of stock market af- ter getting rid of securities margin trading variable. Secondly, this paper analyzes the asymmetry of the stock market with model EGARCH ( 1, 1) . Finally, using the closing price of ZhongZheng 500, ShangZheng 50 stock index fu- ture and adjusting the sample interval, the robustness test is conducted.The results showed that the policy restricting the use of stock index futures has significantly reduced the volatility of the stock market, but aggravated the asymmetry of the stock market.
领 域: [经济管理—金融学]