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我国股指期货已正式推出三年多,股指期货市场和现货市场间的关联关系一直发生着动态变化。本文通过TGARCH模型实证研究了股指现货收益率在股指期货市场变化影响下的波动情况,并通过Grange因果关系检验和VECM模型研究了股指期货的价格发现功能,针对研究结论,文章提出完善我国股指期货市场功能的政策建议。
China’s stock index futures have been officially launched for more than three years, the relationship between the stock index futures market and the spot market has been dynamically changing. This paper empirically studies the volatility of stock index stock returns under the influence of changes in stock index futures market through TGARCH model and studies the price discovery function of stock index futures through Grange causality test and VECM model. In view of the research conclusion, the paper proposes to improve China’s stock index futures Market function of the policy recommendations.