本文選題：股指期貨市場(chǎng) + 股票現(xiàn)貨市場(chǎng)��； 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(chǎng)的波動(dòng)可能是非對(duì)稱的,體現(xiàn)為相對(duì)于"擴(kuò)張"金融市場(chǎng)狀態(tài),"緊縮"金融市場(chǎng)狀態(tài)下沖擊的波動(dòng)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(duì)次貸危機(jī)期間SP500股指期貨市場(chǎng)波動(dòng)狀態(tài)進(jìn)行了計(jì)量檢驗(yàn),驗(yàn)證了其非對(duì)稱波動(dòng)的金融加速器效應(yīng),揭示了股指期貨市場(chǎng)與股票現(xiàn)貨市場(chǎng)之間的風(fēng)險(xiǎn)衍生機(jī)制,旨在為我國(guó)滬深300指數(shù)期貨交易的風(fēng)險(xiǎn)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(jì)學(xué)院;
【基金】：國(guó)家社科基金重點(diǎn)項(xiàng)目的階段性成果(項(xiàng)目批準(zhǔn)號(hào):07AJY014)
【分類號(hào)】：F224;F830.9

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本文編號(hào)：1855181