[1]衷亚成.中国股指期货市场长记忆性及对股票现货市场有效性影响实证分析[J].金融教育研究,2013,(04):33-37.
　ZHONG Yacheng.An Empirical Analysis on the Long Memory of Chinese Share Index Futures and the Efficient Effect of Corresponding Spot Market[J].,2013,(04):33-37.
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中国股指期货市场长记忆性及对股票现货市场有效性影响实证分析()
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《金融教育研究》[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2013年04期
页码:
33-37
栏目:
出版日期:
2013-08-31

文章信息/Info

Title:
An Empirical Analysis on the Long Memory of Chinese Share Index Futures and the Efficient Effect of Corresponding Spot Market
作者:
衷亚成;
江西财经大学,江西南昌,330013
Author(s):
ZHONG Yacheng
关键词:
股指期货; 有效性; 长记忆性
Keywords:
Share Price Index;  efficiency;  double long memory
分类号:
F830.9
文献标志码:
A
摘要:
基于股指期货日收盘价数据,我们建立了能够同时测度其收益率和波动率的双长记忆性的ARFIMA-FIGARCH模型,模型估计结果表明我国股指期货的日收益率序列及其波动率序列均出现较显著的长记忆性特性,即我国股指期货市场是非有效市场。进而对股指期货上市前后沪深300指数的双长记忆性行为的进一步研究,发现股指期货的推出有助于促进我国股票现货市场的有效性。
Abstract:
We have constructed the ARFIMA-FIGARCH model that can measure the double long memory characteristic of both series of return and volatility simultaneously based on daily closing prices of the share price index futures.The results depict both series of its return and corresponding volatility follow a significant long range dependence,which implies against the efficient market.After we dug the characteristic of the double long memory in HuShen300 index market deeper before and after the share price index futures listing,we find there is a promotion effect on its spot market efficiency due to the birth of share price index futures.

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更新日期/Last Update: 1900-01-01