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本文运用GARCH模型分析了香港恒生指数期货对香港股市波动的影响,实证结论表明香港恒生指数期货的推出在短期内加剧了香港股市的波动,而长期来看会在一定程度上减缓香港股市的波动。这主要是因为香港期货交易所通过一系列的改革,减小了股指期货对股市的波动性影响。因此,在当前金融危机背景下,我国推出股指期货应按照“谨慎执行,逐步放开”的原则,在发展初期进行严格控制,避免市场过度投机。
This paper uses the GARCH model to analyze the impact of Hong Kong’s Hang Seng Index futures on Hong Kong stock market volatility. The empirical results show that the launch of Hong Kong’s Hang Seng Index futures exacerbated the volatility of the Hong Kong stock market in the short run, but will slow down the volatility of the Hong Kong stock market to a certain extent . This is mainly due to the Hong Kong Futures Exchange through a series of reforms to reduce the stock index volatility of stock index futures. Therefore, in the context of the current financial crisis, China’s introduction of stock index futures should be based on the principle of “prudent implementation and gradual liberalization”, with strict control during the initial stage of development to avoid over-speculation in the market.