财经理论与实践2017，Vol.38Issue(3)：58-63,6.
股指期货是股灾的"幕后推手"吗--基于2015年股灾期间沪深300股指期货高频数据实证分析
Does Stock Index Futures Aggravate the Stock Crash: An Empirical Research Based on the HS300 Index Futures 5-min Data During the Crash in 2015
摘要
Abstract
This paper selected the high-frequency data of HS 300 index futures and HS 300 index from June 15,2015 to August 26,2015.By using the EG two-step co-integration method,Granger Representation Theorem,Impulse Response Model,the empirical study of stock index futures' market price discovery function as well as volatility spillover effect has been done.The study shows that even in the crash,HS 300 index futures still played an important role of price discovery,and volatility spillovers existed from the futures market to the stock market.The stock index futures had the ability to lead the stock price to go down.关键词
股指期货/价格发现/波动溢出Key words
Stock index futures/Price discovery/Volatility spillover分类
管理科学引用本文复制引用
杨林,杨雅如..股指期货是股灾的"幕后推手"吗--基于2015年股灾期间沪深300股指期货高频数据实证分析[J].财经理论与实践,2017,38(3):58-63,6.基金项目
国家社会科学基金项目(15BGL044)、中南财经政法大学研究生科研创新项目(2016SSjrx016) （15BGL044）
