| 股指期货市场金融加速器效应的实证分析 |
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| 引用本文： | 田树喜,白钦先.股指期货市场金融加速器效应的实证分析[J].上海金融,2010(4). |
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| 作者姓名： | 田树喜 白钦先 |
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| 作者单位： | 1. 东北大学文法学院,辽宁沈阳,110004
2. 辽宁大学经济学院,辽宁沈阳,110036 |
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| 基金项目： | 国家社科基金重点项目的阶段性成果(项目批准号:07AJY014) |
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| 摘 要： | 金融加速器理论认为,由于存在着摩擦成本,金融市场的波动可能是非对称的,体现为相对于扩张金融市场状态,紧缩金融市场状态下冲击的波动更加剧烈,由此产生加速效应。本文采用向量自回归模型系列对次贷危机期间S&P500股指期货市场波动状态进行了计量检验,验证了其非对称波动的金融加速器效应,揭示了股指期货市场与股票现货市场之间的风险衍生机制,旨在为我国沪深300指数期货交易的风险防范提供借鉴。
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| 关 键 词： | 股指期货市场 股票现货市场 金融加速器 |
The Empirical Analysis of Financial Accelerator Effect in Stock Index Futures Market |
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| Tian Shuxi,Bai Qinxian.The Empirical Analysis of Financial Accelerator Effect in Stock Index Futures Market[J].Shanghai Finance,2010(4). |
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| Authors: | Tian Shuxi Bai Qinxian |
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| Abstract: | The financial accelerator theory suggests that the volatility of financial market may be asymmetrical because of the friction cost,with the reflection of more dramatic volatility in tight financial market than in expansive financial market under financial shock,thus initiates the financial accelerator effect.In the econometric framework of vector auto-regression model series,this paper analyzes the volatility of the S&P 500 stock index futures market during the sub-prime crisis and verifies its asymmetrical... |
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| Keywords: | Stock Index Futures Market Stock Spot Market Financial Accelerator |
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