基于双变量EGARCH的股指期货与现货市场波动溢出效应研究

发布时间：2018-05-31 13:38

本文选题：沪深300股指期货 + 波动溢出效应　；参考：《哈尔滨工业大学》2012年硕士论文

【摘要】：股指期货提供了一种双向的交易机制，投资者通过此种机制，可以在期现两个市场之间进行套期保值，从而使股票现货市场上的系统性风险得到了有效的剥离和转移。在此背景下，我国于2010年4月16日推出沪深300指数期货合约，作为我国第一个金融期货产品，，它的问世体现了我国资本市场各项制度基础得到了不断的发展和完善，这一新的金融衍生品的推出，必将会对我国整个金融体系，特别是对资本市场产生非凡的影响。在沪深300股指期货市场成立初期，其运行机制要不断完善和发展，为了使股指期货充分发挥其自身功能，就需要对金融衍生产品的传导机制和风险控制进行一定的研究，这一点尤其重要，而波动溢出效应正是基于这一研究方向的课题。在对金融市场信息的刻画上，本文将收益和波动作为其代理变量，分别建立了引入虚拟变量的GARCH模型和双变量EGARCH模型，并且在这两个模型均值中加入控制变量，尽可能剔除市场环境等系统性因素，借此来研究我国股指期货和现货市场之间的波动溢效应。结果得出：沪深300现货市场指数与其标的的指数期货之间，存在这一种长期相对稳定的均衡关系。两个市场的价格之间相互引导，相互预测，且在市场间存在双向波动溢出效应。但是在波动性方面，相比较期货市场受现货市场的影响，现货市场受到期货市场的影响程度更加显著一些。最后，基于研究结果，结合自己的理解，为我国股指期货市场发展提出了几点建议。
[Abstract]:Stock index futures provide a two-way trading mechanism through which investors can hedge between the two markets, thus effectively stripping and transferring the systemic risk in the stock spot market. In this context, China launched the Shanghai and Shenzhen 300 index futures contract on April 16, 2010, as the first financial futures product in China, its emergence reflects the continuous development and improvement of the various institutional foundations of China's capital market. The introduction of this new financial derivatives will have an extraordinary impact on the whole financial system of our country, especially on the capital market. In the initial stage of the establishment of the Shanghai and Shenzhen 300 stock index futures market, its operating mechanism should be continuously improved and developed. In order to make stock index futures give full play to their own functions, it is necessary to conduct a certain study on the transmission mechanism and risk control of financial derivatives. This is especially important, and volatility spillover effects are based on this research direction. In the description of financial market information, this paper takes earnings and volatility as proxy variables, establishes GARCH model with virtual variable and EGARCH model with two variables, and adds control variable to the mean value of these two models. In order to study the volatility spillover effect between stock index futures and spot market, the systemic factors such as market environment are eliminated as far as possible. The results show that there is a long-term and relatively stable equilibrium relationship between the Shanghai and Shenzhen 300 spot market index and its underlying index futures. The prices of the two markets guide and predict each other, and there is a two-way volatility spillover effect between the two markets. However, in terms of volatility, the spot market is more significantly affected by the futures market than the futures market is affected by the spot market. Finally, based on the research results and my own understanding, some suggestions for the development of stock index futures market in China are put forward.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F723;F224

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