本文選題：股指期貨市場 + 股票現(xiàn)貨市場　； 參考：《上海金融》2010年04期

【摘要】：金融加速器理論認(rèn)為,由于存在著摩擦成本,金融市場的波動可能是非對稱的,體現(xiàn)為相對于"擴張"金融市場狀態(tài),"緊縮"金融市場狀態(tài)下沖擊的波動更加劇烈,由此產(chǎn)生加速效應(yīng)。本文采用向量自回歸模型系列對次貸危機期間SP500股指期貨市場波動狀態(tài)進行了計量檢驗,驗證了其非對稱波動的金融加速器效應(yīng),揭示了股指期貨市場與股票現(xiàn)貨市場之間的風(fēng)險衍生機制,旨在為我國滬深300指數(shù)期貨交易的風(fēng)險防范提供借鑒。
[Abstract]:According to financial accelerator theory, due to the existence of frictional costs, fluctuations in financial markets may be asymmetrical, as compared with "expanding" financial market states, the volatility of shocks in "tight" financial markets is more intense. This has an acceleration effect. In this paper, a series of vector autoregressive models are used to test the volatility of SP500 stock index futures market during the subprime mortgage crisis, and the financial accelerator effect of asymmetric volatility is verified. This paper reveals the risk derivative mechanism between the stock index futures market and the stock spot market in order to provide reference for the risk prevention of Shanghai and Shenzhen 300 index futures trading in China.
【作者單位】： 東北大學(xué)文法學(xué)院;遼寧大學(xué)經(jīng)濟學(xué)院;
【基金】：國家社科基金重點項目的階段性成果(項目批準(zhǔn)號:07AJY014)
【分類號】：F224;F830.9

【相似文獻(xiàn)】

相關(guān)期刊論文 前10條

1 彭濤;;股指期貨博弈提前開場[J];w，

本文編號：1855181