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2010年4月,中国股市股指期货上市交易,人们对股指期货寄以重望。然而我们看到的是,在股指期货推出至今已近一年的时间里,股市并没有因它而变得更加稳定,特别是刚推出后的两个月中我国股票市场大跌。如何看待股指期货的风险?通过采用基于GARCH模型的VaR方法比较S&P500指数期货推出前后其指数的波动情况,可以得出股指期货的推出在短期内将导致股票指数较大波动,但长期不会给市场带来大的动荡;而且从我国沪深300指数的波动状况看,也可以得出在短期内股指期货的推出对股市的波动有相似的结论。
In April 2010, China’s stock index futures went public and people placed their hopes on stock index futures. However, what we have seen is that in the nearly one year since the introduction of the stock index futures, the stock market has not become more stable due to it. Especially in the two months immediately after its launch, the stock market in our country plunged. How to treat the risk of stock index futures? By comparing the volatility of index before and after the launch of S & P500 index futures using VaR method based on GARCH model, it can be concluded that the introduction of stock index futures will lead to greater volatility in the stock index in the short term, The market has brought great turmoil; and from the fluctuation of China’s CSI300 Index, it can be concluded that the introduction of the stock index futures in the near term has similar conclusions to the fluctuation of the stock market.