证券市场导报
證券市場導報
증권시장도보
Securities Market Herald
2014年
8期
53~59
,共null页
日内信息结构 羊群行为 股指期货 MSSV模型
日內信息結構 羊群行為 股指期貨 MSSV模型
일내신식결구 양군행위 고지기화 MSSV모형
intraday information structure, herding behavior, stock index futures, markov-switching stochastic volatility model
为研究股指期货推出对现货市场质量的影响，基于沪深300指数收益及成分股数据分别从日内信息结构、羊群行为及风险异化三个方面展开分析。实证结果表明：股指期货推出对现货市场日内信息结构存在显著影响，有助于降低日内波动及缓解上午、隔夜信息的“助涨助跌”性，改善现货市场质量。股指期货推出前后，现货市场均存在羊群行为，且在推出后该效应有所增强。sV类模型所测波动率序列波动持续性较OARCH类模型低，波动状态较为稳定；股指期货的推出总体上削弱了现货市场的波动。
為研究股指期貨推齣對現貨市場質量的影響，基于滬深300指數收益及成分股數據分彆從日內信息結構、羊群行為及風險異化三箇方麵展開分析。實證結果錶明：股指期貨推齣對現貨市場日內信息結構存在顯著影響，有助于降低日內波動及緩解上午、隔夜信息的“助漲助跌”性，改善現貨市場質量。股指期貨推齣前後，現貨市場均存在羊群行為，且在推齣後該效應有所增彊。sV類模型所測波動率序列波動持續性較OARCH類模型低，波動狀態較為穩定；股指期貨的推齣總體上削弱瞭現貨市場的波動。
위연구고지기화추출대현화시장질량적영향，기우호심300지수수익급성분고수거분별종일내신식결구、양군행위급풍험이화삼개방면전개분석。실증결과표명：고지기화추출대현화시장일내신식결구존재현저영향，유조우강저일내파동급완해상오、격야신식적“조창조질”성，개선현화시장질량。고지기화추출전후，현화시장균존재양군행위，차재추출후해효응유소증강。sV류모형소측파동솔서렬파동지속성교OARCH류모형저，파동상태교위은정；고지기화적추출총체상삭약료현화시장적파동。
In order to study the impacts of introducing stock index futures on spot market, we conduct a research from the intradayinformation structure, herding behavior and risk change in three aspects based on the CSI 300 index logarithm yield and componentdata. The empirical results show that the stock index futures have significant impacts on intraday information structure of spotmarket, which help reduce the intraday volatility and ease the ＂help up to down＂ effect of morning and overnight information. Theherding behavior exists before and after its launching, and even enhances after its launching. The volatility sustainability measuredby SV class model is lower when it measured by GARCH model, and the volatility stage is stable. As a whole, introducing stockindex futures weaken the fluctuations in spot market.
