CAJ | 학술논문

　　利用正反馈交易模型与非对称冲击TARCH模型，本文实证研究了我国股指期货的推出对股市投资者正反馈交易行为的影响。结果表明：我国股市当前存在正反馈交易行为；股指期货的短期抑制效应不大，长期抑制效应渐现但不显著；股指期货有利于投资者对消息的理性反应，是抑制股市正反馈交易行为的重要原因。
　　이용정반궤교역모형여비대칭충격TARCH모형，본문실증연구료아국고지기화적추출대고시투자자정반궤교역행위적영향。결과표명：아국고시당전존재정반궤교역행위；고지기화적단기억제효응불대，장기억제효응점현단불현저；고지기화유리우투자자대소식적이성반응，시억제고시정반궤교역행위적중요원인。
This paper mainly studies the effects of stock index futures on the stock market investors ′positive feedback trading activity by combining the positive feedback trading model with the TARCH model of the asymmetric impact .The results show that: China stock market currently exists positive feedback trading;the short-term inhibitory effect of stock index futures is not significant , however , the long-term inhibitory effect takes shape but is not significant;stock index futures make the investors′reaction to the news be more rational , which is an important reason for inhibition of positive feedback trading behavior .