经济问题
經濟問題
경제문제
On Economic Problems
2011年
6期
89~93
,共null页
股指期货 资本市场波动性 波动率检验模型
股指期貨 資本市場波動性 波動率檢驗模型
고지기화 자본시장파동성 파동솔검험모형
stock index futures; the volatility of capital market; test model of volatility
在市场经济下，股指期货具有套期保值、金融资产配置、价格发现等资本功能。由于中国现阶段股票市场、债券市场、期货市场彼此间并无直接关联，所以，股指期货的推出必将对资本市场波动率产生重要影响。综合考量企业的总资产及总股本两个因素，以沪深若干只典型超大盘股为分析对象，重新构造了股票指数收益率，重点考察了股指期货与资本市场波动性的关联关系。
在市場經濟下，股指期貨具有套期保值、金融資產配置、價格髮現等資本功能。由于中國現階段股票市場、債券市場、期貨市場彼此間併無直接關聯，所以，股指期貨的推齣必將對資本市場波動率產生重要影響。綜閤攷量企業的總資產及總股本兩箇因素，以滬深若榦隻典型超大盤股為分析對象，重新構造瞭股票指數收益率，重點攷察瞭股指期貨與資本市場波動性的關聯關繫。
재시장경제하，고지기화구유투기보치、금융자산배치、개격발현등자본공능。유우중국현계단고표시장、채권시장、기화시장피차간병무직접관련，소이，고지기화적추출필장대자본시장파동솔산생중요영향。종합고량기업적총자산급총고본량개인소，이호심약간지전형초대반고위분석대상，중신구조료고표지수수익솔，중점고찰료고지기화여자본시장파동성적관련관계。
In market economy, the stock index futures have the functions of hedging, financial asset allocation and price discovery of capital, etc. In present stage, the introduction of stock index futures will have major impact on the volatility of the capital market because of the indirect relationship to each other between the stock market, bond market and futures market. The thesis reconstructs the return rate of the stock index to research the relation- ship between the stock index futures and the volatility of capital market, which relies on the considerations of the firm total assets and total equity of the large - cap firms listed in the Shanghai and Shenzhen stock market.
