| 基于EGRACH模型的股指期货对股市非对称性波动影响的实证研究 |
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| 引用本文： | 顾奚峰,王国松.基于EGRACH模型的股指期货对股市非对称性波动影响的实证研究[J].金融理论与实践,2011(10). |
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| 作者姓名： | 顾奚峰 王国松 |
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| 作者单位： | 上海大学经济学院,上海,200444 |
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| 基金项目： | 教育部人文社会科学研究规划基金项目(09YJA790136); 上海市教委科研创新重点项目(10ZS67)的阶段性研究成果 |
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| 摘 要： | 本文基于EGRACH模型,利用高频数据,实证检验了沪深300股指期货对我国股市非对称波动的影响。实证研究表明,沪深300股指期货与现货市场之间存在互为格兰杰因果关系,在股指期货初期股指期货对股市的波动有放大作用,在远期降低了非对称性波动,具有稳定股市的功效。
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| 关 键 词： | 股指期货 非对称波动 EGRACH模型 |
Empirical Study on the Impacts of Index Futures on the Asymmetric Volatility of Stock Markets |
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| Gu Xi-Feng,Wang Guo-Song.Empirical Study on the Impacts of Index Futures on the Asymmetric Volatility of Stock Markets[J].Financial Theory and Practice,2011(10). |
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| Authors: | Gu Xi-Feng Wang Guo-Song |
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| Institution: | Gu Xi-Feng,Wang Guo-Song |
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| Abstract: | Based on the EGRACH model,the article applies the high frequency dates to do an empirical study about the impact of Hu-Shen-300 Stock Index Futures on the asymmetric volatility of stock markets.The research shows that Hu-Shen-300 Stock Index Futures and its spot markets are Granger Causality each other,and in the initial stage,the push-off of Stock Index Futures magnify the volatilities of the stock markets,after that it would help to stabilize the volatilities. |
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| Keywords: | Stock Index Futures Asymmetric Volatility EGRACH Model |
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