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本文应用添加了外生变量的GARCH模型研究股指期货市场投资者结构对股指期货市场波动性的影响,为了研究股指期货市场与股票市场间的波动溢出效应,本文在GARCH模型中加入交叉ARCH效应项和交叉GARCH项,直接研究了股指期货市场与现货市场的双向波动溢出效应,间接研究了股指期货市场投资者结构套期保值强度增加对股票市场风险波动有抑制作用,并建议政府在权衡市场流动性和稳定性后制定鼓励套期保值者的规则和政策。
This paper studies the influence of investor structure of stock index futures market on the volatility of stock index futures market by using the GARCH model with exogenous variables added. In order to study the volatility spillover effect between stock index futures market and stock market, this paper adds the cross ARCH effect term And cross-GARCH items, we study directly the two-way volatility spillover effect between the stock index futures market and the spot market, and indirectly study that the hedging strength of the investor structure in the stock index futures market has an inhibitory effect on the volatility of the stock market risk and suggests that the government should weigh the market liquidity Sex and stability to develop rules and policies to encourage hedgers.