我国股指期货价格发现功能及其对股市信息传播效率影响研究

发布时间：2018-01-05 16:10

本文关键词：我国股指期货价格发现功能及其对股市信息传播效率影响研究　出处：《河北大学》2012年硕士论文　论文类型：学位论文

【摘要】：沪深300股指期货合约以沪深300指数为标的，是中国金融期货交易所推出的首个金融期货品种，于2010年4月16日正式上市交易。股指期货的成功上市，是资本市场基础制度建设的又一个里程碑，，对中国资本市场实现“多层次”、“多元化”发展目标具有重要意义。一个规范、成熟的期货市场对完善市场价格形成机制具有重要意义，而股指期货是否具备价格发现功能，关系到股指期货市场运行的有效性如何。作为一个新成立的股指期货市场，我国的股指期货市场的运行有效性如何，是金融监管部门和广大金融市场参与者普遍关心的重要问题。本文选取了沪深300股指期货上市以来两年的“日间”（日收盘价）及“日内”（5分钟收盘价）数据，采用Granger因果检验、向量误差修正模型、广义脉冲响应、方差分解分析以及GARCH模型、EGARCH模型等多种方法从沪深300股指期货对现货市场的价格发现作用的效果、股指期货的推出对股票现货市场信息传播效率的影响两方面进行研究。研究结果表明沪深300股指期货已经具备日内价格发现功能，并且在一定程度上弱化了股票市场的非对称效应，但没能显著降低股票市场的波动，没有提高股票市场的信息传播效率。说明我国股指期货市场运行有效性较差，虽具备了价格发现功能，但没有起到提高现货市场运行效率的作用，与国际上成熟的股指期货市场还有较大差距。为提高我国股指期货市场有效性，本文从增大我国股指期货市场的广度和深度出发，提出了一些建议。
[Abstract]:The Shanghai and Shenzhen 300 stock index futures contracts are the first financial futures products launched by the China Financial Futures Exchange. On April 16th 2010, the successful listing of stock index futures is another milestone in the construction of capital market foundation system, and realizes "multi-level" to China's capital market. The goal of "diversification" is of great significance. A standardized and mature futures market is of great significance to the improvement of the market price formation mechanism, and whether the stock index futures have the function of price discovery. As a newly established stock index futures market, how effective is the stock index futures market in China? Is the financial supervision department and the broad financial market participant general concern important question. This paper selects the data of "day" (daily closing price) and "intra-day" (5-minute closing price) of Shanghai and Shenzhen 300 stock index futures, and adopts Granger causality test. Vector error correction model, generalized impulse response, variance decomposition analysis and GARCH model. EGARCH model and other methods from the Shanghai and Shenzhen 300 stock index futures on the spot market price discovery effect. The introduction of stock index futures on the stock spot market information transmission efficiency is studied in two aspects. The results show that the Shanghai and Shenzhen 300 stock index futures have the function of intraday price discovery. And to some extent weaken the asymmetric effect of the stock market, but can not significantly reduce the volatility of the stock market. It shows that the efficiency of stock index futures market is poor, although it has the function of price discovery, it does not play a role in improving the efficiency of spot market. In order to improve the effectiveness of China's stock index futures market, this paper puts forward some suggestions in order to increase the breadth and depth of China's stock index futures market.
【学位授予单位】：河北大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.5

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