股指期货的推出对我国股市现货市场波动性影响问题研究

发布时间：2018-03-31 11:12

本文选题：HS300指数　切入点：股指期货　出处：《中原工学院》2012年硕士论文

【摘要】：2010年4月16日,中国第一个金融期货产品——HS300股指期货,其在中国金融期货交易所上市交易了。它的推出成为了中国证券市场体制变革史上的里程碑,使我国证券市场告别了单边市场时代并逐渐趋向功能完整。股指期货是股票现货市场所衍生出来的金融避险工具,是一种金融创新。其在中国的推出究竟是有利于我国股市的稳定发展还是加剧了股票市场的震荡?对此,目前学术界存在着不同观点,也受到了社会各界的广泛关注。作者通过对2008年6月26日至2012年2月10日期间的HS300指数的相关数据进行收集、处理,并应用GARCH模型等计量工具对日收益率进行实证分析。试图为HS300股指期货在我国的推出对我国现货市场的影响提供一些有价值的参考依据,同时有助于去理解和帮助规范中国的资本市场。作者在理论分析和相关实证研究的基础上,最终得出以下结论：(1)HS300指数收益率波动是平稳的,没有显著的自相关现象,波动率呈现聚集特征,存在ARCH效应。(2)收益率的分布具有“尖峰厚尾”的特征,不服从正态分布。(3)运用了GARCH模型等相关计量工具,得出股指期货推出前后,HS300指数收益率的方差只有略微减小,在5%的显著水平下,股指期货的推出对股市波动性无显著影响。这些结论对以后的研究有一定参考意义。
[Abstract]:On April 16, 2010, China's first financial futures product, HS300 stock index futures, was traded on the China Financial Futures Exchange.Its introduction has become a milestone in the history of the reform of China's securities market system, which has made the securities market of our country bid farewell to the era of unilateral market and gradually move towards the integrity of its function.Stock index futures is a kind of financial innovation derived from spot stock market.Is its introduction in China conducive to the stable development of China's stock market or exacerbated the stock market volatility?In view of this, there are different views in academic circles, and have been widely concerned by all walks of life.The author collects and processes the relevant data of HS300 index from June 26, 2008 to February 10, 2012, and makes an empirical analysis of the daily return rate by using GARCH model and other econometric tools.This paper attempts to provide some valuable reference basis for the impact of the introduction of HS300 stock index futures in China's spot market and help to understand and help standardize China's capital market.The distribution of return rate with ARCH effect has the characteristic of "peak and thick tail". From normal distribution, using GARCH model and other relevant measurement tools, it is concluded that the variance of return rate of HS300 index before and after the introduction of stock index futures is only slightly reduced.At a significant level of 5 percent, the introduction of stock index futures has no significant impact on the volatility of the stock market.These conclusions have certain reference significance for future research.
【学位授予单位】：中原工学院
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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