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基于波动效应与价格发现的期指仿真交易研究
引用本文:文先明,梁琳.基于波动效应与价格发现的期指仿真交易研究[J].经济与管理,2010,24(2):26-30.
作者姓名:文先明  梁琳
作者单位:长沙理工大学,经济与管理学院,湖南,长沙,410004
摘    要:采用修正的GARCH模型和向量误差修正模型(VEC)将股指期货推出后现货市场波动性的变化和股指期货与现货市场的价格发现功能结合起来进行对比研究发现,期指仿真交易的推出对于现货市场效率的改进确实存在正面的影响。其引入在短期内加大了现货市场的波动,但这一波动正是市场信息流动加速的反映,因而提高了市场信息的传递效率。研究同时也表明,期货价格领先于现货价格,存在由期货市场到现货市场长期的单向因果关系,说明期货价格具有引导现货价格向均衡方向调整的功能,从而在经验上支持了股指期货市场的开放政策。

关 键 词:股票指数期货  GARCH模型  波动性  向量误差修正模型(VECM)

Simulation Trading of Index Futures based on Volatility Efficiency and Price Discovery
Wen Xianming,Liang Lin.Simulation Trading of Index Futures based on Volatility Efficiency and Price Discovery[J].Economy and Management,2010,24(2):26-30.
Authors:Wen Xianming  Liang Lin
Institution:School of Economics and Management;Changsha University of Science and Technology;Changsha 410004;China
Abstract:By adopting modified GARCH model and the Vector Error Correction model(VEC),makes an integrated study between the changes of spot market volatility when stock index futures have been introduced and the price discovery function of the index futures compared with the spot market,the results show that the introduction of index futures has a positive impact on the efficiency of spot market.It has increased the volatility of the spot market in the short term,and exactly the volatility is a reflection of the mark...
Keywords:stock index futures  GARCH model  volatility  vector error correction model  
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