本文選題：股指期貨 + 股票市場(chǎng)��； 參考：《湖南社會(huì)科學(xué)》2017年05期

【摘要】：通過(guò)構(gòu)建雙變量GARCH模型分析發(fā)現(xiàn),股指期貨市場(chǎng)與股票市場(chǎng)存在雙向波動(dòng)溢出效應(yīng),當(dāng)市場(chǎng)處于波動(dòng)期時(shí),股指期貨市場(chǎng)的存在加劇了股票市場(chǎng)的震蕩。在股指期現(xiàn)貨跨市場(chǎng)監(jiān)管體系、跨市場(chǎng)信息監(jiān)管、跨市場(chǎng)穩(wěn)定機(jī)制、跨市場(chǎng)反操縱機(jī)制等方面,我國(guó)均存在嚴(yán)重缺陷。因此,我國(guó)應(yīng)構(gòu)建大監(jiān)管格局與三層次信息交流機(jī)制,實(shí)施"T+0"制度,取消期市漲跌停板并實(shí)施新的熔斷制度,在完善法律法規(guī)的基礎(chǔ)上引入集體訴訟機(jī)制,并采用技術(shù)導(dǎo)向結(jié)合人工經(jīng)驗(yàn)判斷的監(jiān)管新模式。
[Abstract]:Through the analysis of bivariate GARCH model, it is found that there is a two-way volatility spillover effect between stock index futures market and stock market, and when the market is in a period of volatility, the existence of stock index futures market intensifies the volatility of stock market. In China, there are serious defects in the stock index period spot cross-market supervision system, cross-market information supervision, cross-market stability mechanism, cross-market anti-manipulation mechanism and so on. Therefore, China should construct a large regulatory structure and a three-level information exchange mechanism, implement the "T _ 0" system, cancel the trading limit of the futures market and implement a new melting break system, and introduce the class-action mechanism on the basis of perfecting the laws and regulations. And adopt the new mode of supervision based on technology guidance and artificial experience judgment.
【作者單位】： 長(zhǎng)沙理工大學(xué)經(jīng)濟(jì)與管理學(xué)院;湖南期貨研究所;
【基金】：教育部人文社會(huì)科學(xué)研究項(xiàng)目“滬深300股指期貨與股票跨市場(chǎng)監(jiān)管研究”(12YJA790200)資助
【分類(lèi)號(hào)】：F832.51;F724.5

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