股指期货对股市的冲击研究

发布时间：2018-01-08 13:18

本文关键词：股指期货对股市的冲击研究　出处：《东北财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：股指期货的产生具有历史必然性。早在20世纪70年代初,以英国和美国为主要代表签订的布雷顿森林体系解体,一方面是由于当时国际石油价格危机,另一方面由于美国在战争中军费消耗巨大,由债权国变成债务国,经济逐渐削弱,黄金储备再也支撑不了日益泛滥的美元。尼克松总统被迫宣布解除固定汇率制度,实行自由浮动的汇率制度。那时起,西方国家之间的利率、汇率开始频繁波动,出现了严重的经济滞胀,加剧了股市的波动,造成股市极不稳定,市场上迫切希望有一种可以管理金融风险的工具,人们也开始越来越重视投资的风险管理,在这样的背景之下,1982年,美国堪萨斯期货交易所(KCBT)推出了价格线综合指数期货合约,股指期货自此开始发展。股指期货的产生是一个漫长的、艰难的过程。股指期货实行的零和博弈,有人视为是一种赌博的游戏,但在现在看来,它对股市的影响意义是比较深远的；同时我们也可以把股指期货看作是由商品期货经验成功移接到金融资本领域的成果,它是金融领域的一种创造性产物。股指期货交易在我国还只是刚刚起步,处于一个探索实验的阶段。2006年2月,股指期货的上市做准备工作开始展开,同年9月份,中交所在上海成立,2010年4月16日,股指期货合约正式挂牌交易,股指期货推出之时,股市走低,当时有人认为股市的下跌是股指期货的推出所致。人们通常对新事物的诞生并不了解。股指期货推出已经有三年多的时间。我国现阶段正处于市场经济改革之中,造成股市波动的因素是多方面的,股指期货对我国股市的冲击效果如何,这是本文所要研究的内容,研究得到的结论可以作为股指期货研究的一种补充,也是一种参考。本文以我国股指期货上市前后近三年标的股票指数为研究对象,一方面,从微观角度,基于金融时间序列的随机游走特征建立GARCH类模型进行检验、估计、判断和对比,研究沪深300股票指数的绝对波动性；另一方面,从宏观角度,基于资产定价模型,联合上证指数的日收益率建立CAPM-GARCH模型,并对模型进行了修正,方差方程中引入了市场波动性变量,研究沪深300股票指数的相对波动性,再通过设立一个宏观经济系统风险指标,研究股指期货推出以来的近三年时间,沪深300股票指数系统性风险的相对变化,使用相对指标的好处在于可以考虑到整个市场对股市的影响,相对指标的选取能使波动性的估计更加准确,在本文的研究中得到以下结论： 1.基于传统的GARCH模型,研究得出：股指期货上市后,新信息对股市的冲击影响减弱,说明新信息转化为股市波动的速度减慢,旧信息对股市的冲击影响减弱,说明旧信息转化为股市波动的速度减慢；股指期货上市后对应标的指数的非对称效应降低。从绝对指标上来说,股指期货的上市以来使沪深300股票指数的日收益波动性减小大约66.95%,使得平均波动幅度减小了41.09%,市场在股指期货上市后的三年时间里变得更加有效。 2.基于CAPM-GARCH模型研究得出,股指期货合约推出以来,沪深300股票指数的收益率的相对波动性也减小了,说明股指期货确实对沪深300股票指数起到了稳定作用,市场确实变得更加有效。 3.通过对沪深300股票指数宏观性系统风险系数的研究得出：股指期货上市初期,大约100天的时间里,沪深300股票指数的系统性风险较上市前没有显著性变化,约100天后,系统性风险较上市前开始增大,系统性风险的变化幅度也显著增加。
[Abstract]:Stock index futures have a historical inevitability. In early 1970s, the disintegration of the United Kingdom and the United States as the main representative of the signing of the Bretton Woods system, on the one hand is because of the international oil price crisis, on the other hand, the U.S. military in the war consumes huge debt by creditor into the country, the economy gradually weakened, gold reserve also support the rampant not dollars. President Nixon was forced to announce the termination of the fixed exchange rate system, the implementation of the free floating exchange rate system. Then, the western countries between the interest rate, exchange rate began to frequent fluctuations, there have been serious stagflation, exacerbated the volatility of the stock market, causing the stock market is not stable, the market is eager to have a can financial risk management tools, people began to pay more attention to the risk management of investment in 1982, under this background, the Kansas futures exchange The (KCBT) launched a comprehensive line of price index futures, stock index futures since the beginning of development. The development of stock index futures is a long, difficult process. Stock index futures to implement zero sum game, is regarded as a kind of gambling game, but for now, it is the significance of the impact on the stock market more profound; at the same time we can also put the stock index futures as commodity futures by the successful experience of transferring to the field of financial capital, it is a kind of creative products in the financial sector.
The stock index futures trading in China has just started, in an exploratory experimental stage.2006 in February, stock index futures market to do the preparatory work began in September of the same year, the exchange in Shanghai was established, in April 16, 2010, stock index futures officially listed for trading stock index futures launch, the stock market decline, when someone that the stock market decline is caused by the launch of stock index futures. People often do not understand the birth of new things. The launch of stock index futures has been more than three years time. Our country is now in the stage of market economy reform, stock market volatility is caused by factors in many aspects, how the impact of stock index futures on the stock market in China and this is the content of this paper, the conclusions of the study can be used as a supplement to the research on stock index futures, as a reference.
In this paper, the stock index in recent three years the subject before and after the listing of stock index futures in China as the research object, on the one hand, from the micro perspective, based on the random walk characteristics of the establishment of GARCH model to test, estimation of financial time series, judgment and comparison of the Shanghai and Shenzhen 300 stock index's volatility; on the other hand, from the macro based on the perspective of asset pricing model, combined with the Shanghai index daily return rate to establish the CAPM-GARCH model, and the model is modified, the market volatility variable into the variance equation, the relative volatility of Shanghai and Shenzhen 300 stock index, and then through the establishment of a macroeconomic system risk index, since the launch of stock index futures in three in time, the relative change of the Shanghai and Shenzhen 300 stock index system of risk indicators, using relative advantage is that you can take into account the impact of the market on the stock market, the relative index selection can make waves The dynamic estimation is more accurate, and the following conclusions are obtained in this study.
1. GARCH model, based on the traditional research shows that the stock index futures market, the impact of new information on the impact of the stock market weakened, indicating that the new information into the stock market fluctuation rate, the impact of the old information impact on the stock market weakened, the old information into the stock market volatility rate; reduce the asymmetric effect of stock index futures corresponding the underlying index. From the absolute index, daily return volatility since the stock index futures listed in Shanghai and Shenzhen 300 stock index decreased about 66.95%, the average amplitude of fluctuation is reduced by 41.09%, the market becomes more effective in the stock three years after the listing of the goods.
2., based on the CAPM-GARCH model, we find that the relative volatility of the Shanghai and Shenzhen 300 stock index has also decreased since the launch of the stock index futures contract, indicating that stock index futures have played a stabilizing role in the Shanghai and Shenzhen 300 stock index, and the market has become more effective.
3. through the research on the Shanghai and Shenzhen 300 stock index system of macro risk coefficient that the stock index futures market early, about 100 days, the systemic risk of Shanghai and Shenzhen 300 stock index is listed before did not change significantly, about 100 days later, systemic risk is listed before began to increase, changes of systemic risk also increased significantly.

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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