| 日内信息结构、羊群行为及风险异化; Intraday Information Structure,Herding Behavior and Risk Change | |
| 郑振龙 ; 郑国忠 ; 张亦春 | |
| 2014-08-10 | |
| 关键词 | 日内信息结构 羊群行为 股指期货 MSSV模型 intraday information structure herding behavior stock index futures markov-switching stochastic volatility model |
| 英文摘要 | 为研究股指期货推出对现货市场质量的影响,基于沪深300指数收益及成分股数据分别从日内信息结构、羊群行为及风险异化三个方面展开分析。实证结果表明:股指期货推出对现货市场日内信息结构存在显著影响,有助于降低日内波动及缓解上午、隔夜信息的“助涨助跌“性,改善现货市场质量。股指期货推出前后,现货市场均存在羊群行为,且在推出后该效应有所增强。SV类模型所测波动率序列波动持续性较gArCH类模型低,波动状态较为稳定;股指期货的推出总体上削弱了现货市场的波动。; In order to study the impacts of introducing stock index futures on spot market, we conduct a research from the intraday information structure, herding behavior and risk change in three aspects based on the CSI 300 index logarithm yield and component data.The empirical results show that the stock index futures have signifi cant impacts on intraday information structure of spot market, which help reduce the intraday volatility and ease the "help up to down" effect of morning and overnight information.The herding behavior exists before and after its launching, and even enhances after its launching.The volatility sustainability measured by SV class model is lower when it measured by GARCH model, and the volatility stage is stable.As a whole, introducing stock index futures weaken the fl uctuations in spot market.; 国家自然科学基金面上项目“非完美信息下基于观点偏差调整的资产定价”(项目号:70971114);国家自然科学基金青年项目“投资者风险偏好:度量与应用”(项目号:71101121)的资助] |
| 语种 | zh_CN |
| 内容类型 | 期刊论文 |
| 源URL | [http://dspace.xmu.edu.cn/handle/2288/113304]  |
| 专题 | 经济学院－已发表论文 |
| 推荐引用方式 GB/T 7714 | 郑振龙,郑国忠,张亦春. 日内信息结构、羊群行为及风险异化, Intraday Information Structure,Herding Behavior and Risk Change[J],2014. |
| APA | 郑振龙,郑国忠,&张亦春.(2014).日内信息结构、羊群行为及风险异化.. |
| MLA | 郑振龙,et al."日内信息结构、羊群行为及风险异化".(2014). |
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