我国股指期货对现货市场价格波动性影响的实证研究

发布时间：2018-04-12 00:30

本文选题：股指期货 + 波动性　；参考：《安徽财经大学》2012年硕士论文

【摘要】：本文以股票指数期货(Stock Index Futures,简称股指期货)为研究对象。股指期货是为股票现货市场风险管理需要而产生的一种金融期货,股指期货的基础资产标的是股票价格指数。自从首支股指期货合约于二十世纪八十年代在美国诞生以来,股指期货在这短短三十年里,交易规模和影响力在全球迅猛增长。随着2010年4月16日我国正式推出股指期货,股指期货理论研究探索成为我国金融研究中具有现实意义的重要课题。本文从股指期货发展的一般规律和基础理论出发,采取理论和实证相结合的分析方法,借鉴了其他学者的研究经验,对我国股指期货在股票现货市场产生的影响进行了研究。首先,本文通过对股指期货推出前后现货市场收益率进行ARMA建模,在对各模型的赤池信息准则和施瓦茨信息准则比较的基础上选择最优模型。其次,本文分别采用事前事后分析法和引入虚拟变量法,在分别建立GARCH模型和EGARCH模型后,发现HS300股指期货推出后现货市场波动性降低了,且市场信息的反映模式得到改善,价格发现功能得到发挥,现货市场效率得到提高。通过EGARCH模型分别对我国股指期货推出前后对现货市场非对称性波动情况进行实证研究,发现利空消息比等量的利好消息产生了更大的波动,但无论是利好消息还是利空消息,他们的冲击都降低了,即现货市场的波动性降低了。最后通过本文实证研究结果以及结合我国证券市场的实际情况,对我国股指期货发展的具体情况提出切实可行的相关政策建议,使我国股指期货市场和股票现货市场发展的更加成熟、完善。
[Abstract]:In this paper, stock index futures stock Index futures (short for stock index futures) as the research object.Stock index futures is a kind of financial futures produced for risk management of stock spot market. The underlying asset target of stock index futures is stock price index.Since the birth of the first stock index futures contract in the United States in the 1980s, the trading scale and influence of stock index futures have grown rapidly in the past three decades.With the launch of stock index futures in China on April 16, 2010, the theoretical research of stock index futures has become an important issue of practical significance in the financial research of our country.Based on the general law and basic theory of stock index futures development, this paper studies the influence of stock index futures on the spot stock market in China by adopting the analytical method of combining theory and practice, and drawing on the research experience of other scholars.Firstly, through the ARMA model of the spot market yield before and after the introduction of stock index futures, the paper selects the optimal model on the basis of comparing the red pool information criterion of each model with the Schwartz information criterion.Secondly, after establishing GARCH model and EGARCH model, we find that the volatility of spot market is reduced after the introduction of HS300 stock index futures, and the reflection mode of market information is improved.Price discovery function has been played, spot market efficiency has been improved.Through the empirical research on the asymmetric volatility of the spot market before and after the introduction of stock index futures in China by EGARCH model, it is found that the bad news has more volatility than the good news of the same quantity, but whether it is good news or bad news,Their impact has been reduced, that is, the volatility of the spot market has decreased.Finally, through the empirical research results of this paper and combined with the actual situation of China's securities market, put forward practical and practical policy recommendations on the development of stock index futures in China.Make our country stock index futures market and stock spot market more mature, perfect.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F723;F224

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