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基于VAR模型的仿真股指期货与现货市场关联研究

发表时间:2009-09-15  浏览量:1499  下载量:525
全部作者: 胡啸兵,何旭静,史芳丽
作者单位: 西安交通大学经济与金融学院
摘 要: 对中国股指期货正式登台前的仿真交易市场与现货市场的关联问题进行研究。通过对股指期货仿真交易和其标的现货市场构筑的二元系统进行向量自回归(vector auto regressive, VAR)建模和实证分析,对该二元系统的内在关联进行了准确刻画,并对该系统进行了脉冲响应和方差分解分析。在验证股指期货与现货市场理论密切关系的同时,发现股指期货仿真交易的引入对VAR系统内各期风险收益的构成与分布具有较大影响,在对VAR系统内这两个市场间的动态关联和具体风险构成状况做定量分析的基础上,为正式推出股指期货后的市场风险规避提供了初步政策建议。
关 键 词: 金融学;股指期货仿真交易;关联问题;向量自回归模型;脉冲响应;方差分解
Title: Study on the correlation between the index future simulative market and spot stock market based on VAR model
Author: HU Xiaobing, HE Xujing, SHI Fangli
Organization: School of Economics & Finance, Xi’an Jiaotong University
Abstract: With the impending advent of the index future market practice, the correlation between spot stock market and index future simulative market attracts much more academic attention for its enormous significance as a reference in design and preparation for the formal operation of index future market. This paper is centered on the accurate quantitative description and analysis of the interactive relationship of the simulative market and spot stock market in a dynamic perspective based on vector auto regression (VAR) model, impulse response as well as variance decomposition, and it is found that the index future simulative market exerts a great influence on the composition and distribution of risk return in the bi-variate VAR system involved herein. At the end, some policy advice is proposed according to quantitative analysis made above so that the risks could be better avoided in the coming official index future market.
Key words: finance; index future simulative market; correlation; vector auto regression model; impulse response; variance decomposition
发表期数: 2009年9月第17期
引用格式: 胡啸兵,何旭静,史芳丽. 基于VAR模型的仿真股指期货与现货市场关联研究[J]. 中国科技论文在线精品论文,2009,2(17):1835-1841.
 
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